Comparing a security's performance to an index or another security is an essential requirement in technical analysis. Here, you can conduct comparison analysis using most popular comperative indicators.
Security Selection: You can pick a security, a group or more.
Analysis Options: You can select the indicators you are interested in.
Beta: Measures the systematic risk of a security. It is used to illustrate the relative volatility of a security (or portfolio) in comparison with the market as a whole or another security.
Beta (+): Calculates the Beta coefficient for only up days of comparison security.
Beta (-): Calculates the Beta coefficient for only down days of comparison security.
Alpha: The Alpha coefficient is a risk-adjusted measure of the "excess return” on an investment. It is a common measure of assessing a manager’s performance as it is the return in excess of a benchmark index or "risk-free" investment.
Correlation: Compares a stock against either an indicator or another stock and illustrates how similar/dissimilar they are to one another.
Relative Strength, Comperative: Compares the price movement of a stock with an index, a sector or another stock to illustrate how they are performing relative to one another. It is derived by dividing one security's price by a second (or "base") security's price. The result of this division is the ratio or relationship between the two securities.
Calculation is made using the last date value, first date value is not used.
R-Squared: Shows the percentage of movement that can be explained by linear regression.
Sharpe: The Sharpe ratio is a measure of the excess return (or Risk Premium) per unit of risk in an investment asset or a trading strategy. The Sharpe ratio is used to characterize how well the return of an asset compensates the investor for the risk taken.
Treynor: The Treynor ratio relates excess return over the risk-free rate to the additional risk taken; however systematic risk instead of total risk is used. The higher the Treynor ratio, the better the performance under analysis.
Jensen's Alpha: Determines the excess return of a stock, other security, or portfolio over the security's required rate of return as determined by the Capital Asset Pricing Model.
Jensen's Alpha, Sharpe ratio and Treynor ratio are widely used to evaluate mutual fund and portfolio manager performance.
Date Selection: You can pick dates you are interested in.
Market Security: Indicates the comparison security.
Period: You can select the period of the indicator as Daily, Weekly or Monthly.
Risk Free Security: This input is valid for Jensen’s Alpha and Treynor indicators.
Show Names: You can check this box in order to display names of the securities.
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Inherited from MyGrid, Comparison Analysis form has all the features of MyGrid. |