Struct PerformanceTearsheet 

pub struct PerformanceTearsheet {

    pub observation_count: usize,
    pub total_return: f64,
    pub annualised_return: f64,
    pub annualised_volatility: f64,
    pub sharpe_ratio: Option<f64>,
    pub max_drawdown: f64,
    pub calmar_ratio: Option<f64>,
    pub annualised_excess_return: f64,
    pub tracking_error: f64,
    pub information_ratio: Option<f64>,
    pub sortino_ratio: Option<f64>,
    pub win_rate: f64,
    pub return_min: f64,
    pub return_max: f64,
    pub return_mean: f64,
}

Comprehensive performance summary computed from a return series.

Covers absolute performance, risk-adjusted metrics, and drawdown analysis.

Example

use fin_primitives::attribution::{PerformanceTearsheet, ReturnObservation};

let obs = vec![
    ReturnObservation { label: "d1".to_owned(), portfolio_return: 0.01, benchmark_return: 0.008 },
    ReturnObservation { label: "d2".to_owned(), portfolio_return: -0.005, benchmark_return: -0.003 },
    ReturnObservation { label: "d3".to_owned(), portfolio_return: 0.02, benchmark_return: 0.015 },
];
let ts = PerformanceTearsheet::compute(&obs, 252).unwrap();
assert!(ts.annualised_return.is_finite());
assert!(ts.max_drawdown <= 0.0);

Fields

observation_count: usize

Number of observations used.

total_return: f64

Compounded total portfolio return over all periods.

annualised_return: f64

Annualised portfolio return (geometric).

annualised_volatility: f64

Annualised volatility of portfolio returns.

sharpe_ratio: Option<f64>

Sharpe ratio: annualised_return / annualised_volatility. None if volatility is zero.

max_drawdown: f64

Maximum peak-to-trough drawdown (always <= 0).

calmar_ratio: Option<f64>

Calmar ratio: annualised_return / |max_drawdown|. None if max_drawdown is zero.

annualised_excess_return: f64

Annualised excess return over the benchmark.

tracking_error: f64

Annualised tracking error (std dev of excess returns).

information_ratio: Option<f64>

Information ratio: annualised_excess_return / tracking_error. None if tracking error is zero.

sortino_ratio: Option<f64>

Sortino ratio: annualised_return / downside_deviation. None if downside deviation is zero.

win_rate: f64

Win rate: fraction of periods with positive portfolio return.

return_min: f64

Per-period return statistics: min, max, mean.

return_max: f64

Maximum single-period return.

return_mean: f64

Mean single-period return.

Implementations

impl PerformanceTearsheet

Calculates a PerformanceTearsheet from a sequence of return observations.

pub fn compute( observations: &[ReturnObservation], periods_per_year: usize, ) -> Result<Self, FinError>

Compute all performance metrics from a return series.

Parameters

• observations — Ordered sequence of return observations.
• periods_per_year — Annualisation factor: 252 for daily, 12 for monthly, 4 for quarterly.

Errors

Returns FinError::InvalidInput if:

• observations is empty.
• periods_per_year is zero.
• Any return value is non-finite.

pub fn summary(&self) -> String

Format a brief one-line summary of the tearsheet.

Trait Implementations

impl Clone for PerformanceTearsheet

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for PerformanceTearsheet

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

Formats the value using the given formatter.