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Please improve Drawdown support at the portfolio level

Comments, critical feedback, praise, or suggestions for new features.

Postby investor425 » Sat Jun 23, 2018 3:39 pm

Hi,

I have the professional version of FM.

Firstly, the software is great, thanks for all the good work!

Would it be possible to please strengthen your support for drawdowns at the portfolio level with the following new features:

1) add a Max Drawdown (%age) calculation at the portfolio level (in the custom report)

Currently this is only supported at the individual investment level.

2) Add a Calmar Ratio (Annualized Geometric Return - Risk Free Rate)/Max Drawdown at the portfolio level (in the custom report)

3) Add an "underwater equity" graph which shows the drawdown levels (%age) over time. This is very useful to see how your portfolio has reacted to adverse events over time, how much of the time is spent in drawdowns, how long it takes to recover from drawdowns, what the average drawdown is, etc.

Here is an example:

http://quantitrader.com/algorithms/draw ... ity-curve/

Thanks very much
investor425
 
Posts: 15
Joined: Sun Oct 01, 2017 1:42 am

Postby Mark » Sun Jun 24, 2018 10:44 am

Hi investor425,

Thanks for the ideas/feedback, those would be good improvements.
Thanks,
Mark
Fund Manager - Portfolio Management Software
Mark
Site Admin
 
Posts: 11253
Joined: Thu Oct 25, 2007 2:24 pm
Location: Chandler, AZ


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