Excel Performance Measurement - Excel

							Put portfolio % returns in column A and
(optionally) market % returns in column B
      Riskless rate (%)                         (optional)
         Threshold (%)                          (optional)




                       n                    0
      arithmetic mean               undefined
   standard deviation               undefined
             skewness               undefined
               kurtosis             undefined
       Jensen's alpha               undefined
                   beta             undefined
           Sharpe ratio             undefined
           Sortino ratio            undefined
                Omega               undefined
                CPTCE               undefined
 maximum drawdown                   undefined
     Information ratio              undefined
          Treynor ratio             undefined
                    M2              undefined
                     T2             undefined
          Stutzer index             undefined
 Upside potential ratio             undefined
           Calmar ratio             undefined
            Clare ratio             undefined
         Portfolio Performance Measurement
          Martin Sewell <mvs25@cam.ac.uk>
             last updated 4 February 2010


This calculator is independent of the time period used,
so ensure that all figures including Riskless rate and
Threshold are monthly, or all figures are annual, etc.
CPTCE = Cumulative prospect theory certainty equivalent
Put data in column A   Results appear in column B