Performance indices

Gaia provides a large panel of performance indices to the asset managers. Here are a few examples of the performance indices available in Gaia:

    • The Tracking Error, which measures the standard deviation of the difference in rate of return between the portfolio and its benchmark.
    • The Sharpe ratio which is determined by the ratio between the incremental rate of return of the fund versus the risk-free rate of return.
    • The Sortino ratio is similar to the Sharpe ratio, except for the fact that only decreasing trends in portfolio value is considered to be a risk.
    • The Treynor ratio is also similar to the Sharpe ratio, except that the Treynor ratio uses beta as a proxy for volatility.
    • The Information ratio is defined by the residual rate of return of the portfolio over its residual risk.
    • The Hurst ratio, which shows the tenacity and the positive correlation between series of returns of an asset or of a portfolio.

Performance Comparison

Gaia allows you to compare:

    • the performance of a fund with one or more benchmarks,
    • the performance of an asset or of a subset of the portfolio with the portfolio in its entirety.

Also, Gaia allows you to analyze the performance of each management strategy, whether it is spread across portfolios or limited to a single portfolio.

Performance Contribution

Gaia calculates the contribution to the performance of the portfolio:

    • of each line in position
    • of each asset type
    • of each sector and sub-sector, country, geographic zone, currency,…
    • and according to personalized criteria