Two Portfolio Statistics

The Two Portfolio Statistics add-in displays the combine risk of the last two portfolios selected in the main grid. It displays three statistics:

• VaR(%): the value at risk using the same parameters as VaR(%) in the main grid.

• rVaR(%): this is the realized value at risk using the same parameters as rVaR(%) in the main grid.

• Sharpe: this is the Sharpe ratio of realized returns over the date range indicated at the bottom right of the application. The date range of the entire screen (main grid and add-in), can be changed under the Screen tab on the right side of the application.

Application Features Home

Main Application Help Home