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@@ -1,424 +0,0 @@
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-login(`admin, `123456)
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-loadPlugin("ODBC")
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-clearCachedModules()
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-use fundit::fundCalculator
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-use fundit::dataPuller
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-use fundit::returnCalculator
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-
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-
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-end_day = 2024.06.28
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-//end_day = today()
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-
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-bmk_ret = get_fund_monthly_ret("'IN00000008'", 1990.01.01, end_day, true)
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-risk_free_rate = get_risk_free_rate("'IN0000000M'", 1990.01.01, end_day)
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-
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-/* TEST CASE 1 */
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-// tb_ret = get_fund_monthly_ret("'MF00003PW1','MF00003PW2'", 1990.01.01, end_day, true)
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-// hedge fund test
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-tb_ret = get_fund_monthly_ret("'HF000004KN','HF000103EU','HF00018WXG'", 1990.01.01, end_day, true)
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-
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-
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-/* TEST CASE 2
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-tb_updated_funds = get_fund_list_by_nav_updatetime(2024.07.19T10:00:00)
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-
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-// take 1000 funds for testing
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-fund_ids = "'" + tb_updated_funds.fund_id[0:1000].concat("','") + "'"
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-
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-tb_ret = get_fund_monthly_ret(fund_ids, 1990.01.01, end_day, false)
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-*/
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-
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-
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-/* annualized return GIPS */
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-// 0.122622 -0.163869 -0.077696
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-ret_incep_a = SELECT fund_id, ret_incep_a FROM tb_ret WHERE end_date = end_day.datetimeFormat("yyyy-MM")
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-ret_ytd_a = SELECT fund_id, ret_ytd_a FROM tb_ret WHERE end_date = end_day.datetimeFormat("yyyy-MM")
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-
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-/* annualized standard deviation */
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-// 0.210105 null null
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-std_incep = SELECT ret.std() FROM tb_ret GROUP BY fund_id
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-std_incep_a = std_incep * pow(12, 0.5)
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-// 0.357842 null null
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-std_ytd = (SELECT ret.std() FROM tb_ret WHERE end_date >= end_day.year()$STRING + "-01" GROUP BY fund_id)
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-std_ytd_a = std_ytd * pow(12, 0.5)
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-// 0.357842 null null
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-std_6m = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-6, "M").temporalFormat("yyyy-MM") GROUP BY fund_id)
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-std_6m_a = std_6m * pow(12, 0.5)
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-// 0.270642 null null
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-std_1y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-1, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
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-std_1y_a = std_1y * pow(12, 0.5)
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-// 0.249324 null null
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-std_2y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-2, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
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-std_2y_a = std_2y * pow(12, 0.5)
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-// 0.248138 null null
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-std_3y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-3, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
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-std_3y_a = std_3y * pow(12, 0.5)
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-// 0.242779 null null
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-std_4y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-4, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
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-std_4y_a = std_4y * pow(12, 0.5)
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-// 0.224387 null null
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-std_5y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-5, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
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-std_5y_a = std_5y * pow(12, 0.5)
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-// 0.210569 null null
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-std_10y = (SELECT ret.std() FROM tb_ret WHERE end_date > end_day.temporalAdd(-10, "y").temporalFormat("yyyy-MM") GROUP BY fund_id)
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-std_10y_a = std_10y * pow(12, 0.5)
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-
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-/* annualized downside stdev numbers are slightly off !
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- NOTE: not sure why cnt[0] need to minus 1 copied from Java implementation*/
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-// risk_free_rate = 0.001208
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-// 0.130429 null null
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-t = SELECT *, count(fund_id) AS cnt FROM tb_ret CONTEXT BY fund_id
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-ds_std_dev_incep = SELECT t.fund_id, (sum2(t.ret - rfr.ret) / (t.cnt[0]-1)).pow(0.5) AS ds_std_dev
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- FROM t
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- WHERE t.ret < rfr.ret
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- GROUP BY t.fund_id
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-ds_std_dev_incep_a = ds_std_dev_incep * pow(12, 0.5)
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-
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-// 0.277208 null null
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-t = SELECT *, count(fund_id) AS cnt FROM tb_ret WHERE end_date >= end_day.year()$STRING + "-01" CONTEXT BY fund_id
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-ds_std_dev_ytd = SELECT fund_id, (sum2(ret - rfr.ret) / (t.cnt[0]-1)).pow(0.5) AS ds_std_dev
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- FROM t
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- WHERE t.ret < rfr.ret
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- GROUP BY fund_id
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-ds_std_dev_ytd_a = ds_std_dev_ytd * pow(12, 0.5)
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-
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-
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-/* beta */
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-// 0.530483 null null
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-t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk
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- FROM tb_ret t
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
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-
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-beta_incep = SELECT ret.beta(ret_bmk) AS beta FROM t GROUP BY fund_id
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-
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-// 1.819822 null null
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-t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk
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- FROM tb_ret t
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
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- WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
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-
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-beta_ytd =SELECT ret.beta(ret_bmk) AS beta FROM t GROUP BY fund_id
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-
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-/* annualized alpha -- numbers are off ! because Java doesn't substract risk free rate */
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-
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- // 0.110500 null null
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-t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk
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- FROM tb_ret t
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
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-
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-alpha_incep = SELECT t.fund_id, (t.ret - rfr.ret).mean() - beta.beta[0] * (t.ret_bmk - rfr.ret).mean() AS alpha
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- FROM t
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- INNER JOIN beta_incep beta ON t.fund_id = beta.fund_id
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- GROUP BY t.fund_id
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-alpha_incep_a = alpha_incep * 12
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-
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- // -0.11019 null null
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-t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk
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- FROM tb_ret t
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
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- WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
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-
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- alpha_ytd = SELECT t.fund_id, (t.ret - rfr.ret).mean() - beta.beta[0] * (t.ret_bmk - rfr.ret).mean() AS alpha
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- FROM t
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- INNER JOIN beta_ytd beta ON t.fund_id = beta.fund_id
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- GROUP BY t.fund_id
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-alpha_ytd_a = alpha_ytd * 12
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-
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-/* win rate -- numbers are slightly way off !effective data count issue? */
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-
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- // 0.585185 null null
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- t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk, count(fund_id) AS cnt
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- FROM tb_ret t
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
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- CONTEXT BY t.fund_id
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-
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-winrate_incep = SELECT fund_id, count(fund_id) \ cnt[0] AS winrate
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- FROM t
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- WHERE ret > ret_bmk
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- GROUP BY fund_id
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-
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-// 0.666667 null null
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- t = SELECT t.fund_id, t.end_date, t.ret, bmk.ret AS ret_bmk, count(fund_id) AS cnt
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- FROM tb_ret t
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
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- WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
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- CONTEXT BY t.fund_id
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-
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-winrate_ytd = SELECT fund_id, count(fund_id) \ cnt[0] AS winrate
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- FROM t
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- WHERE ret > ret_bmk
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- GROUP BY fund_id
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-
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-/* skewness */
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-// -0.090416
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-skewness_incep = SELECT fund_id, ret.skew(false) AS skewness FROM tb_ret GROUP BY fund_id
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-// -0.513185
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-skewness_ytd = SELECT fund_id, ret.skew(false) AS skewness FROM tb_ret WHERE end_date >= end_day.datetimeFormat("yyyy-01") GROUP BY fund_id
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-
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-/* kurtosis */
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-// 0.527901
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-kurtosis_incep = SELECT fund_id, ret.kurtosis(false) - 3 AS kurtosis FROM tb_ret GROUP BY fund_id
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-// 0.961329
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-kurtosis_ytd = SELECT fund_id, ret.kurtosis(false) - 3 AS kurtosis FROM tb_ret WHERE end_date >= end_day.datetimeFormat("yyyy-01") GROUP BY fund_id
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-
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-/* worst month */
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-// --0.172580
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-wrst_month_incep = SELECT ret.min() AS ret FROM tb_ret GROUP BY fund_id
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-// -0.172580
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-wrst_month_ytd = SELECT ret.min() AS ret FROM tb_ret WHERE end_date >= end_day.datetimeFormat("yyyy-01") GROUP BY fund_id
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-
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-/* longest down month*/
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-
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-/* max drawdown */
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-// 0.305496 0.5621 0.120200
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-drawdown_incep = SELECT fund_id, max( 1 - nav \ nav.cummax() ) AS drawdown FROM tb_ret GROUP BY fund_id
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-
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-// 0.05645 0 0.06553
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-drawdown_ytd = SELECT fund_id, max( 1 - nav \ nav.cummax() ) AS drawdown FROM tb_ret WHERE end_date >= end_day.datetimeFormat("yyyy-01") GROUP BY fund_id
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-
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-/* sharpe ratio */
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-// 0.568739
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-sharpe_incep = SELECT t.fund_id, (t.ret - rfr.ret).mean() / std.std_ret[0] AS sharpe
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- FROM tb_ret t
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- INNER JOIN std_incep std ON t.fund_id = std.fund_id
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- GROUP BY t.fund_id
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-sharpe_incep_a = sharpe_incep * pow(12, 0.5)
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-
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-// -0.186892
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-sharpe_ytd = SELECT t.fund_id, (t.ret - rfr.ret).mean() / std.std_ret[0] AS sharpe
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- FROM tb_ret t
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- INNER JOIN std_ytd std ON t.fund_id = std.fund_id
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
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- GROUP BY t.fund_id
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-sharpe_ytd_a = sharpe_ytd * pow(12, 0.5)
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-
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-// -0.568024
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-sharpe_1y = SELECT t.fund_id, (t.ret - rfr.ret).mean() / std.std_ret[0] AS sharpe
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- FROM tb_ret t
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- INNER JOIN std_1y std ON t.fund_id = std.fund_id
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- WHERE t.end_date > end_day.temporalAdd(-1, "y").temporalFormat("yyyy-MM")
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- GROUP BY t.fund_id
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-sharpe_1y_a = sharpe_1y * pow(12, 0.5)
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-
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-// -0.131570
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-sharpe_2y = SELECT t.fund_id, (t.ret - rfr.ret).mean() / std.std_ret[0] AS sharpe
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- FROM tb_ret t
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- INNER JOIN std_2y std ON t.fund_id = std.fund_id
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- WHERE t.end_date > end_day.temporalAdd(-2, "y").temporalFormat("yyyy-MM")
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- GROUP BY t.fund_id
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-sharpe_2y_a = sharpe_2y * pow(12, 0.5)
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-
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-
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-/* sortino ratio NOTE: sortino is LPM2*/
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-
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-// 0.916167
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-sortino_incep = SELECT t.fund_id, (t.ret - rfr.ret ).mean() / std.ds_std_dev[0] AS sortino
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- FROM tb_ret t
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- INNER JOIN ds_std_dev_incep std ON t.fund_id = std.fund_id
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- GROUP BY t.fund_id
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-sortino_incep_a = sortino_incep * pow(12, 0.5)
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-
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-// -0.241256
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-sortino_ytd = SELECT t.fund_id, (t.ret - rfr.ret ).mean() / std.ds_std_dev[0] AS sortino
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- FROM tb_ret t
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- INNER JOIN ds_std_dev_ytd std ON t.fund_id = std.fund_id
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
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- GROUP BY t.fund_id
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-sortino_ytd_a = sortino_ytd * pow(12, 0.5)
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-
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-/* sortino MAR -- what's the MAR number? */
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-
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-
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-
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-/* treynor ratio ytd numbers are way off ! because current java calcuation is not follow GIPS annualization rule*/
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-// 0.195812
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-t= SELECT *, count(fund_id) AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date CONTEXT BY t.fund_id
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-treynor_incep = SELECT t.fund_id, ((1 + t.ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0])) - (1 + t.rfr_ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0]))) / beta.beta[0] AS treynor
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- FROM t
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- INNER JOIN beta_incep beta ON t.fund_id = beta.fund_id
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- GROUP BY t.fund_id
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-
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-// -0.064390
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-t= SELECT *, count(fund_id) AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date WHERE t.end_date >= end_day.datetimeFormat("yyyy-01") CONTEXT BY t.fund_id
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-treynor_ytd = SELECT t.fund_id, ((1 + t.ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0])) - (1 + t.rfr_ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0]))) / beta.beta[0] AS treynor
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- FROM t
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- INNER JOIN beta_ytd beta ON t.fund_id = beta.fund_id
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- GROUP BY t.fund_id
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-
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-
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-/* jensen's alpha numbers are slightly off ! */
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-// 0.101781
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-jensen_incep = SELECT t.fund_id, t.ret.mean() - rfr.ret.mean() - beta.beta[0] * (bmk.ret.mean() - rfr.ret.mean()) AS jensen
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- FROM tb_ret t
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- INNER JOIN beta_incep beta ON t.fund_id = beta.fund_id
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- GROUP BY t.fund_id
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-jensen_incep_a = jensen_incep * 12
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-
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-// -0.098310
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-jensen_ytd = SELECT t.fund_id, t.ret.mean() - rfr.ret.mean() - beta.beta[0] * (bmk.ret.mean() - rfr.ret.mean()) AS jensen
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- FROM tb_ret t
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
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- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
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- INNER JOIN beta_ytd beta ON t.fund_id = beta.fund_id
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- WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
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- GROUP BY t.fund_id
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-jensen_ytd_a = jensen_ytd * 12
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-
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-/* calmar ratio numbers are way off ! */
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-// 0.376378 -0.279307 -0.81280
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-calmar_incep = SELECT fund_id, ar.ret_incep_a \ dd.drawdown AS calmar
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- FROM ret_incep_a ar
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- INNER JOIN drawdown_incep dd ON ar.fund_id = dd.fund_id
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-// 2.567034 999999. -0.81280
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-calmar_ytd = SELECT fund_id, ar.ret_ytd_a \ dd.drawdown AS calmar
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- FROM ret_ytd_a ar
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- INNER JOIN drawdown_ytd dd ON ar.fund_id = dd.fund_id
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-
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-/* omega ratio numbers are off ! could because Java uses annualized returns and cnt-1 NOTE: omega is LPM1 */
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-// 1.471981
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-t0 = SELECT *, fund_id.count() AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date CONTEXT BY t.fund_id
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-
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-t1 = SELECT fund_id, (ret - rfr_ret).sum() \ cnt[0] AS ex_ret
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- FROM t0
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- WHERE ret > rfr_ret
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- GROUP BY fund_id
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-t2 = SELECT fund_id, (rfr_ret - ret).sum() \ cnt[0] AS ds_ret
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- FROM t0
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- WHERE ret < rfr_ret
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- GROUP BY fund_id
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-
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-omega_incep = SELECT t1.fund_id, t1.ex_ret \ t2.ds_ret AS omega
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- FROM t1
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- INNER JOIN t2 ON t1.fund_id = t2.fund_id
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-
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-// 0.790864
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-t0 = SELECT *, fund_id.count() AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date WHERE t.end_date >= end_day.datetimeFormat("yyyy-01") CONTEXT BY t.fund_id
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-
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-t1 = SELECT fund_id, (ret - rfr_ret).mean() AS ex_ret
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- FROM t0
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- GROUP BY fund_id
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-t2 = SELECT fund_id, (rfr_ret - ret).sum() \ cnt[0] AS ds_ret
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- FROM t0
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- WHERE ret < rfr_ret
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- GROUP BY fund_id
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-
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-omega_ytd = SELECT t1.fund_id, 1 + t1.ex_ret \ t2.ds_ret AS omega
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- FROM t1
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- INNER JOIN t2 ON t1.fund_id = t2.fund_id
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-
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|
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-/* kappa ratio NOTE: kappa is LMP3 numbers are off ! Java's implementation could be very wrong */
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-
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|
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-// 0.848648
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-t0 = SELECT *, fund_id.count() AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date CONTEXT BY t.fund_id
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-t1 = SELECT fund_id, (ret - rfr_ret).mean() AS ex_ret
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- FROM t0
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- GROUP BY fund_id
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-t2 = SELECT fund_id, (rfr_ret - ret).sum3() \ cnt[0] AS ds_ret
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- FROM t0
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- WHERE ret < rfr_ret
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- GROUP BY fund_id
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-
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-kappa_incep = SELECT t1.fund_id, 1 + t1.ex_ret \ t2.ds_ret.pow(1\3) AS kappa
|
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|
|
- FROM t1
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|
|
|
- INNER JOIN t2 ON t1.fund_id = t2.fund_id
|
|
|
|
-// -0.501813
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|
|
-t0 = SELECT *, fund_id.count() AS cnt FROM tb_ret t INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date WHERE t.end_date >= end_day.datetimeFormat("yyyy-01") CONTEXT BY t.fund_id
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-t1 = SELECT fund_id, (ret - rfr_ret).mean() AS ex_ret
|
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|
|
- FROM t0
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|
|
|
- GROUP BY fund_id
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|
-t2 = SELECT fund_id, (rfr_ret - ret).sum3() \ cnt[0] AS ds_ret
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|
|
- FROM t0
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|
|
|
- WHERE ret < rfr_ret
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|
|
|
- GROUP BY fund_id
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|
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|
-
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|
|
-kappa_ytd = SELECT t1.fund_id, 1+ t1.ex_ret \ t2.ds_ret.pow(1\3) AS kappa
|
|
|
|
- FROM t1
|
|
|
|
- INNER JOIN t2 ON t1.fund_id = t2.fund_id
|
|
|
|
-
|
|
|
|
-/* tracking error */
|
|
|
|
-// 0.203268
|
|
|
|
-track_error_incep = SELECT fund_id, (t.ret - bmk.ret).std() AS track_error
|
|
|
|
- FROM tb_ret t
|
|
|
|
- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
|
|
|
|
- GROUP BY t.fund_id
|
|
|
|
-track_error_incep_a = track_error_incep * pow(12, 0.5)
|
|
|
|
-// 0.193291
|
|
|
|
-track_error_ytd = SELECT fund_id, (t.ret - bmk.ret).std() AS track_error
|
|
|
|
- FROM tb_ret t
|
|
|
|
- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
|
|
|
|
- WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
|
|
|
|
- GROUP BY t.fund_id
|
|
|
|
-track_error_ytd_a = track_error_ytd * pow(12, 0.5)
|
|
|
|
-
|
|
|
|
-/* information ratio numbers are way off! */
|
|
|
|
-// 5.472180
|
|
|
|
-info_incep = SELECT fund_id, (t.ret - bmk.ret).mean() / (t.ret - bmk.ret).std() AS info
|
|
|
|
- FROM tb_ret t
|
|
|
|
- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
|
|
|
|
- GROUP BY t.fund_id
|
|
|
|
-info_incep_a = info_incep * pow(12, 0.5)
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-/* modigliani = sharpe * std(benchmark) + risk_free_rate )*/
|
|
|
|
-// 0.141025
|
|
|
|
-m2_incep = SELECT t.fund_id, (t.ret - rfr.ret).mean() / t.ret.std() * bmk.ret.std() + rfr.ret.mean()
|
|
|
|
- FROM tb_ret t
|
|
|
|
- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
|
|
|
|
- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
|
|
|
|
- GROUP BY t.fund_id
|
|
|
|
-m2_incep_a = m2_incep * 12
|
|
|
|
-// -0.020145
|
|
|
|
-m2_ytd = SELECT t.fund_id, (t.ret - rfr.ret).mean() / t.ret.std() * bmk.ret.std() + rfr.ret.mean()
|
|
|
|
- FROM tb_ret t
|
|
|
|
- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date
|
|
|
|
- INNER JOIN risk_free_rate rfr ON t.end_date = rfr.end_date
|
|
|
|
- WHERE t.end_date >= end_day.datetimeFormat("yyyy-01")
|
|
|
|
- GROUP BY t.fund_id
|
|
|
|
-m2_ytd_a = m2_ytd * 12
|
|
|
|
-
|
|
|
|
-/* historical var numbers are off ! due to different implementations */
|
|
|
|
-CONFIDENCE_LEVAL = 95
|
|
|
|
-// 0.093206
|
|
|
|
-var_incep = SELECT fund_id, - ret.percentile(100-CONFIDENCE_LEVAL) AS var
|
|
|
|
- FROM tb_ret
|
|
|
|
- GROUP BY fund_id
|
|
|
|
-// 0.162951
|
|
|
|
-var_2y = SELECT fund_id, - ret.percentile(100-CONFIDENCE_LEVAL) AS var
|
|
|
|
- FROM tb_ret
|
|
|
|
- WHERE end_date > end_day.temporalAdd(-2, "y").datetimeFormat("yyyy-MM")
|
|
|
|
- GROUP BY fund_id
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-/* historical cvar numbers are slightly off ! due to different implementations of var */
|
|
|
|
-// 0.129327
|
|
|
|
-cvar_incep = SELECT t.fund_id, - t.ret.mean() AS cvar
|
|
|
|
- FROM tb_ret t
|
|
|
|
- INNER JOIN var_incep var ON t.fund_id = var.fund_id
|
|
|
|
- WHERE t.ret < - var.var
|
|
|
|
- GROUP BY t.fund_id
|
|
|
|
-
|
|
|
|
-// 0.17258
|
|
|
|
-cvar_2y = SELECT t.fund_id, - t.ret.mean() AS cvar
|
|
|
|
- FROM tb_ret t
|
|
|
|
- INNER JOIN var_2y var ON t.fund_id = var.fund_id
|
|
|
|
- WHERE end_date > end_day.temporalAdd(-2, "y").datetimeFormat("yyyy-MM")
|
|
|
|
- AND t.ret < - var.var
|
|
|
|
- GROUP BY t.fund_id
|
|
|
|
-
|
|
|
|
-/* SMDD var */
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-/* stutzer index, used by Tian Xiang rating */
|
|
|
|
-// stutzer = (tb_ret - risk_free_rate) \ cvar
|
|
|