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PerformanceMetrics

fin_primitives::performance

Struct PerformanceMetrics 

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pub struct PerformanceMetrics {
    pub sharpe_ratio: f64,
    pub sortino_ratio: f64,
    pub calmar_ratio: f64,
    pub omega_ratio: f64,
    pub information_ratio: f64,
    pub max_drawdown: f64,
    pub cagr: f64,
}
Expand description

Aggregate portfolio performance metrics.

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§sharpe_ratio: f64

Sharpe ratio: excess return per unit of total volatility (annualised).

§sortino_ratio: f64

Sortino ratio: excess return per unit of downside deviation (annualised).

§calmar_ratio: f64

Calmar ratio: annualised return divided by maximum drawdown.

§omega_ratio: f64

Omega ratio: probability-weighted gains above threshold vs losses below.

§information_ratio: f64

Information ratio: active return divided by tracking error.

§max_drawdown: f64

Maximum peak-to-trough decline on the cumulative return series.

§cagr: f64

Compound annual growth rate.

Trait Implementations§

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impl Clone for PerformanceMetrics

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fn clone(&self) -> Self

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for PerformanceMetrics

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more
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impl PartialEq for PerformanceMetrics

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fn eq(&self, other: &Self) -> bool

Equality operator ==. Read more
1.0.0 (const: unstable) · Source§

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=. Read more
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impl StructuralPartialEq for PerformanceMetrics

Auto Trait Implementations§

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more
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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
Performs copy-assignment from self to dest. Read more
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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T, U> Into<U> for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> ToOwned for T
where T: Clone,

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type Owned = T

The resulting type after obtaining ownership.
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fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more
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fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more
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impl<T, U> TryFrom<U> for T
where U: Into<T>,

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type Error = !

The type returned in the event of a conversion error.
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fn try_from(value: U) -> Result<T, !>

Performs the conversion.
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impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

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type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.
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fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.