Struct ReturnMetrics 

pub struct ReturnMetrics {
    pub mean_return: f64,
    pub annualized_return: f64,
    pub annualized_volatility: f64,
    pub sharpe_ratio: f64,
    pub sortino_ratio: f64,
    pub sample_count: usize,
}

Aggregated return and risk metrics across a series of periodic returns.

Fields

mean_return: f64

Arithmetic mean periodic return.

annualized_return: f64

Annualized return: mean_return * periods_per_year.

annualized_volatility: f64

Annualized volatility (sample standard deviation): std_dev * sqrt(periods_per_year).

sharpe_ratio: f64

Annualized Sharpe ratio: (mean_return - rf_per_period) / std_dev * sqrt(periods_per_year).

sortino_ratio: f64

Annualized Sortino ratio: (mean_return - rf_per_period) / downside_deviation * sqrt(periods_per_year).

sample_count: usize

Number of return periods evaluated.

Trait Implementations

impl Clone for ReturnMetrics

fn clone(&self) -> ReturnMetrics

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for ReturnMetrics

impl Debug for ReturnMetrics

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for ReturnMetrics

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for ReturnMetrics

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for ReturnMetrics

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for ReturnMetrics