|
PerTOOLS Financial Analysis for Excel
PerTOOLS Financial Analysis for Excel 是一个非常有用的excel工具，它可以让任何人轻松地对时间数列数据进行自动的，灵活的，快速的全面分析。
PerTOOLS Financial Analysis for Excel
PerTOOLS Financial Analysis for Excel is an extremely valuable tool for Excel that allows anyone to easily analyse time-series data automatically, with flexibility, speed and full user control.
Maximum Drawdown
=PT_MaxDD(Returns, Dates, FunctionOutput)
Maximum drawdown measures the geometrically compounded return over the section within the data that has the largest negative cumulative return There are 3 arguments to this function
The first argument is the time-series of investment returns
The second argument is the corresponding series of dates
The third argument can be one of 8 values depending upon the output that is desired from the function. These 8 values are explained by the table below 3rd Argument Function Output
DD_Perc Drawdown Amount
DD_SDate Peak Date
DD_EDate Valley Date
DD_NM Number of Periods spent in Drawdown
R_Perc Recovery Amount
R_SDate Date of Start of Recovery
R_EDate Date of End of Recovery
R_NM Number of Periods spent in Recovery
The third argument is not case-sensitive and so can be typed in upper-case, lower-case or a combination of both To illustrate:
=PT_MaxDD($C$12:$C$42,$D$12:$D$42,”dd_perc”) will calculate the maximum drawdown amount over the entire-period of the input data
See the example file for more information
Maximum Drawdown
=PT_MaxDD(Returns, Dates, FunctionOutput)
Maximum drawdown measures the geometrically compounded return over the section within the data that has the largest negative cumulative return
There are 3 arguments to this function
The first argument is the time-series of investment returns
The second argument is the corresponding series of dates
The third argument can be one of 8 values depending upon the output that is desired from the function. These 8 values are explained by the table below
3rd Argument
Function Output
DD_Perc
Drawdown Amount
DD_SDate
Peak Date
DD_EDate
Valley Date
DD_NM
Number of Periods spent in Drawdown
R_Perc
Recovery Amount
R_SDate
Date of Start of Recovery
R_EDate
Date of End of Recovery
R_NM
Number of Periods spent in Recovery
The third argument is not case-sensitive and so can be typed in upper-case, lower-case or a combination of both
To illustrate:
=PT_MaxDD($C$12:$C$42,$D$12:$D$42,”dd_perc”) will calculate the maximum drawdown amount over the entire-period of the input data .
Drawdown Analysis
=PT_DD_T(Returns, Dates)
Maximum Run-Up
=PT_MaxRU(Returns, Dates, FunctionOutput)
Maximum Run-Up measures the geometrically compounded return over the section within the data that has the largest positive cumulative return.
There are 3 arguments to this function
The first argument is the time-series of investment returns
The second argument is the corresponding series of dates
The third argument can be one of 4 values depending upon the output that is desired from the function. These 4 values are explained by the table below
3rd Argument Function Output
RU_Perc Run-Up Amount
RU_SDate Valley Date
RU_EDate Peak Date
RU_NM Number of Periods spent in Run-Up
The third argument is not case-sensitive and so can be typed in upper-case, lower-case or a combination of both
To illustrate:
=PT_MaxRU($C$12:$C$42,$D$12:$D$42,”RU_Perc”) will calculate the maximum run-up amount over the entire-period of the input data
Run-Up Analysis
=PT_RU_T(Returns, Dates)
You can choose from a range of over 50 functions (which includes an infinite number of implementations) each of which runs very quickly and can be called from a cell formula in exactly the same way you might use an Excel formula like
=SUM() or =AVERAGE()
All functions refresh automatically when data is added, deleted or changed and you can easily use thousands of these functions in a single spreadsheet without experiencing speed issues. All appropriate functions are supplied in both geometric and arithmetic versions so you can choose how to compound returns. A comprehensive manual is also provided which contains full explanations of all functions together with all necessary mathematical formulae and examples. An example spreadsheet is also provided which shows examples of all functions being used in practice. Full VBA integration is included.
The functions have been written so that the user only needs to remember a minimum about how to use them. For example, the function =PT_CumRet_A() that computes an Arithmetically-Compounded Return can produce many different kinds of output depending upon the function inputs. It can produce:
An output expressed at any frequency. For example, if the input returns are daily, the
computed arithmetically-compounded return can be daily, weekly, monthly, annual or any
other user-chosen frequency. This functionality is called UpScaling
An output for the whole period. In this case, this would be an
arithmetically-compounded return expressed over the whole period of the input data
The advantage is that the user doesn’t need to remember many different function names; he just needs to remember one. In this way, fewer functions can have many implementations. All of the functions, manual and example spreadsheet are included for one price.
The new UpScaling functionality allows the user to compute any of the PerTOOLS statistics over any period. For example, suppose the user wanted to compute a Sharpe Ratio. No matter what the frequency of the input data is (daily weekly, monthly etc.), the user can compute a daily, weekly, monthly or annual Sharpe Ratio
Available functions include:
Arithmetically Compounded Return
Geometrically Compounded Return
Arithmetic Sharpe Ratio
Geometric Sharpe Ratio
Arithmetic Relative Sharpe Ratio
Geometric Relative Sharpe Ratio
Standard Deviation
Gain Deviation
Loss Deviation
Downside Deviation
Semi Deviation
Maximum Drawdown
Drawdown Analysis
Maximum Run-Up
Run-Up Analysis
Alpha
Beta
Correlation
R-Squared
Skew
Kurtosis
Arithmetic Average Gain
Geometric Average Gain
Arithmetic Average Loss
Geometric Average Loss
Information Ratio
Tracking Error
Sortino Ratio
Arithmetic Treynor Ratio
Geometric Treynor Ratio
Jensen’s Alpha
Up-Percentage Ratio
Down-Percentage Ratio
Percent-Gain Ratio
Percent-Loss Ratio
Up Capture
Down Capture
Up-Number Ratio
Down-Number Ratio
Gain-to-Loss Ratio
Profit-to-Loss Ratio
All functions
There are literally hundreds of uses for this product which include:
Create custom statistics in Excel that update each month when new data is added
Monitor peer-group performance
Create custom functions of your own, easily
Create custom reports branded with the company logo
Create statistics for presentations. These statistics will update automatically each month when new data is added Integrate different data sources such as Reuters and Bloomberg and create your own custom analytics based on this data Analyse data from a database such as Pertrac and have the flexibility to compute statistics based on this data, easily and quickly by using Excel and the PerTOOLS functions Speed up VBA development times by using these functions within VBA
Use in conjunction with PerTOOLS Automatic Data Extractor for Excel to add a whole new dimension to your analysis of Pertrac data
PerTOOLS Custom 1-Page Report
Now you can easily create a custom 1-page report for any data series. You paste your time-series data into the report and the report automatically computes all the statistics to produce a professional, company-branded report that can easily be turned into a PDF document or printed out
Benefits of the 1-page report include:
All statistics recalculated instantly
Charts instantly update
Works for daily, weekly and monthly input data
Easy to update as new data becomes available
Can be branded with company logo
Can easily be made to match with company colours
Report is easy to customize
Change the layout and change the statistics if you want
Space for company disclaimer
Report is sized to automatically fit on a sheet of paper
| 
发帖
雷达卡
京公网安备 11010802022788号
