For those who are starting out on their investment journey, many may have no idea how to even start looking at the performance of a specific fund or security. So they may search high and low for tools to help them with it. Actually, many performance metrics can be easily calculated as long as you have the historical price of the fund or security. And a good free source for price data is Yahoo Finance. So what we have done is to put together a simple MS Excel tool called the Performance Analyzer that can help you extract key performance metrics out from any securities (stock, bond, fund, etc.) as long as you have the historical price data.
So what can you find in the Performance Analyzer?
1. Performance Metrics
The Performance Analyzer automatically calculates some key performance metrics based on the historical data you provided.
Total Returns - Return made by the security over the entire period from start to end.
Compound Annual Growth Rate (CAGR) - Average compounding return per year over the entire period.
Annualized Volatility - Annual standard deviation of the return as a measure of risk. It gives an indication of the level of uncertainty about the CAGR.
Maximum Drawdown - The largest historical loss from peak to trough experienced by the security i.e. this is the loss you would realize if you buy and sell at the worst possible time.
Sharpe Ratio - Return per unit Risk (risk-free rate is taken to be zero). It measures how efficient the fund/security is at generating returns.
Max & Min Daily Return - The largest one-day gain and loss over the entire period.
Max & Min Monthly Return - The largest one-month gain and loss over the entire period
% Positive Days - The proportion of days with positive returns over the entire period.
% Positive Months - The proportion of months with positive returns over the entire period.
2. NAV or Price Chart
A simple price chart in linear scale to show how the fund or security has moved over time. If you prefer to switch it to log scale, then you have to change the settings by right-clicking on the vertical axis of the chart.
3. Drawdown Chart
A drawdown chart to let you see at a glance where the tough periods are. Drawdowns are periods where the fund or security loses value from its prior highs.
4. Monthly Performance Table
A breakdown of the performance of the security or fund month by month and year by year.
Ending Note & Disclaimer
Alright, that's about it. You can download this free tool at our resource page. Having said that, please note that this is not a commercial strength tool that has been extensively tested. So if you see any errors, do let us know about them. Any feedback is welcome as well.
IBF Accredited Course on Quantitative Trading
These are some of the things we look at and tools we used in our investing. For those who are interested in quantitative approaches to investing and trading, we run a 3-day live online course via Zoom. The course is accredited and heavily subsidized by the Institute of Banking and Finance and it's also Skillsfuture eligible. You can click the button below to find out more information on the course.