Analysis and comparison advanced settings
The advanced settings for the asset analysis and comparison provide additional options to customise the metrics calculations to your needs.
Advanced settings with default values
The values we have selected as the default values are the ones we believe to be the most sensible. You only ever have to worry about the advanced settings in case you would like to change the default values.
- Close: The asset's daily price movements
- Adj Close: The asset's daily total return including any cash distributions, e.g. dividends and interest payments, and reinvestments of those
Default: Close
- Daily: Scaled to a period of one day
- Monthly: Scaled to a period of one month; one month = 21 days
- Quarterly: Scaled to a period of one quarter; one quarter = 3 month = 3 x 21 days = 63 days
- Annual: Scaled to a period of one year, one year = 12 months = 12 x 21 days = 252 days
Default: Annual
Some metrics are independent of periodicity, e.g. cumulative return measures the return between the first and the last date in the data set. To learn more about the different metric types, read this article.
The (annualised) return that can (theoretically) be achieved with zero risk.
Typically, the yield on short-term US Treasuries is used as a proxy for the risk-free rate.
The risk-free rate is used for the metrics Sharpe ratio, Sortino ratio, and Alpha.
Default: 0%
The confidence level of the probability distribution of (daily) returns.
For example, at the 95% confidence level, 95% of observed daily returns fall within the selected interval of the probability distribution. In the case of the normal distribution, 95% of values fall within an interval of two standard deviations from the mean.
The confidence level is used for the metrics value at risk and expected shortfall.
Default: 95%
- First Asset: The start date of the oldest asset in the selection
- Median Asset: The median start date in the selection
- Last Asset: The start date of the youngest asset in the selection
Default: Last Asset
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