Portfolio Statistics

[klvassalotti]

Hi, Mark. I've created a report that contains the various stats - alpha, sharpe, standard deviation, etc... I understand that the portfolio stats are calculated from the weighted average of the holdings. My portfolio has over 10 years of history, but I get NA for the stats because I have several new holdings. Is there a way to get those stats at the portfolio level? If not, perhaps this could be a future enhancement - i.e. to do those calculations at the portfolio level.

Thanks,
Keith

[Mark]

Hi Keith,

Since you own a non-zero amount of those short term holdings for the calculation date, Fund Manager needs to be able to calculate the statistics as of that date for those items, in order to calculate a weighted average on the report date. These statistics use monthly returns that are share price based, so if you retrieve historical prices back 5 years (or however long you've set the comparison period), you should then be able to get these statistics reported at both the investment and sub-portfolio level.

[klvassalotti]

Thanks, Mark