Struct BenchmarkComparison 

pub struct BenchmarkComparison {
    pub benchmark_name: String,
    pub benchmark_return: Decimal,
    pub alpha: Decimal,
    pub beta: Decimal,
    pub correlation: Decimal,
    pub tracking_error: Decimal,
    pub information_ratio: Option<Decimal>,
    pub up_capture: Option<Decimal>,
    pub down_capture: Option<Decimal>,
}

Represents the results of comparing a portfolio’s performance against a specified benchmark.

This struct holds various statistical metrics commonly used in finance to evaluate how well a portfolio has performed relative to a market benchmark index.

Fields

benchmark_name: String

The name or identifier of the benchmark used for comparison (e.g., “S&P 500”).

benchmark_return: Decimal

The total return of the benchmark over the evaluated period.

alpha: Decimal

Alpha represents the excess return of the portfolio relative to the return of the benchmark, after adjusting for risk (as measured by beta). A positive alpha suggests the portfolio outperformed the benchmark on a risk-adjusted basis.

beta: Decimal

Beta measures the volatility or systematic risk of the portfolio in comparison to the benchmark. A beta greater than 1 indicates the portfolio is more volatile than the benchmark, while a beta less than 1 indicates less volatility.

correlation: Decimal

Correlation measures the degree to which the portfolio’s returns move in relation to the benchmark’s returns. A value close to 1 indicates a strong positive relationship, -1 a strong negative relationship, and 0 indicates no linear relationship.

tracking_error: Decimal

Tracking Error measures the standard deviation of the difference between the portfolio’s returns and the benchmark’s returns. It quantifies how closely the portfolio’s performance follows the benchmark. A lower tracking error indicates the portfolio is closely tracking the benchmark.

information_ratio: Option<Decimal>

The Information Ratio measures the portfolio’s risk-adjusted returns relative to the benchmark. It is typically calculated as the portfolio’s alpha divided by its tracking error. A higher information ratio suggests better risk-adjusted performance relative to the benchmark. This is optional as it cannot be calculated if the tracking error is zero.

up_capture: Option<Decimal>

Up Capture Ratio measures the portfolio’s performance relative to the benchmark during periods when the benchmark had positive returns. A value greater than 100 suggests the portfolio outperformed the benchmark during up-market periods.

down_capture: Option<Decimal>

Down Capture Ratio measures the portfolio’s performance relative to the benchmark during periods when the benchmark had negative returns. A value less than 100 suggests the portfolio lost less than the benchmark during down-market periods.

Trait Implementations

impl Clone for BenchmarkComparison

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 BenchmarkComparison

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

Formats the value using the given formatter.

impl Default for BenchmarkComparison

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for BenchmarkComparison

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for BenchmarkComparison

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

where __S: Serializer,

Serialize this value into the given Serde serializer.