基于投资组合的日收益率表,组合基准收益率表,债券信息表,写一个SQL语句,计算出以下指标: 组合夏普比率,组合收益波动率(%),VaR/MTM(%),债券久期,最大回撤率(%),贝塔,Alpha 。 需要用建表语句先声明这些表的结构。
时间: 2024-02-09 11:07:52 浏览: 22
好的,以下是建表语句和计算指标的SQL语句:
```
-- 建立投资组合日收益率表
CREATE TABLE portfolio_daily_returns (
date DATE,
portfolio_id INT,
daily_return DECIMAL(10, 4)
);
-- 建立组合基准收益率表
CREATE TABLE benchmark_returns (
date DATE,
benchmark_id INT,
daily_return DECIMAL(10, 4)
);
-- 建立债券信息表
CREATE TABLE bond_information (
bond_id INT,
maturity_date DATE,
coupon_rate DECIMAL(10, 4),
yield DECIMAL(10, 4),
duration DECIMAL(10, 4)
);
-- 计算组合夏普比率
SELECT (AVG(portfolio_daily_returns.daily_return) -
(SELECT daily_return FROM benchmark_returns WHERE benchmark_id = 1)) /
STDDEV(portfolio_daily_returns.daily_return) AS sharpe_ratio
FROM portfolio_daily_returns
WHERE portfolio_id = 1;
-- 计算组合收益波动率(%)
SELECT STDDEV(portfolio_daily_returns.daily_return) * SQRT(252) * 100 AS portfolio_volatility
FROM portfolio_daily_returns
WHERE portfolio_id = 1;
-- 计算VaR/MTM(%)
SELECT (SELECT SUM(portfolio_daily_returns.daily_return) FROM portfolio_daily_returns
WHERE portfolio_id = 1 AND date = '2021-01-01') * bond_information.duration / 100 AS VaR_MTM
FROM bond_information;
-- 计算债券久期
SELECT AVG(bond_information.duration) AS bond_duration
FROM bond_information;
-- 计算最大回撤率(%)
SELECT MAX((portfolio_daily_returns.daily_return -
(SELECT MAX(portfolio_daily_returns.daily_return)
FROM portfolio_daily_returns
WHERE portfolio_id = 1 AND date <= t.date)) /
(SELECT MAX(portfolio_daily_returns.daily_return)
FROM portfolio_daily_returns
WHERE portfolio_id = 1 AND date <= t.date)) * 100 AS max_drawdown
FROM portfolio_daily_returns t
WHERE t.portfolio_id = 1;
-- 计算贝塔
SELECT COVAR_POP(portfolio_daily_returns.daily_return,
(SELECT daily_return FROM benchmark_returns WHERE benchmark_id = 1)) /
VARP(portfolio_daily_returns.daily_return) AS beta
FROM portfolio_daily_returns
WHERE portfolio_id = 1;
-- 计算Alpha
SELECT (AVG(portfolio_daily_returns.daily_return) -
(SELECT daily_return FROM benchmark_returns WHERE benchmark_id = 1)) -
(SELECT beta * (AVG(portfolio_daily_returns.daily_return) -
(SELECT daily_return FROM benchmark_returns WHERE benchmark_id = 1))
FROM portfolio_daily_returns
WHERE portfolio_id = 1) AS alpha
FROM portfolio_daily_returns
WHERE portfolio_id = 1;
```
请注意,这些SQL语句只是一个示例,实际使用时需要根据具体的数据表结构和计算需要进行调整。