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Performance Calculation
 The performance analysis strictly depends on the investment and management process. With the view to
improve the processes in Omega PM, AIMR and GRAP’s recommendations and support have been
advantageous. As a matter of principle, they are applied to every type of portfolio (Stocks, international
stocks and bonds, diversified).
 The role of this module is to analyze and compare the performance between assets: Funds, sub group,
instruments etc…
The following are the main functionalities of the performance module:
.. Statistic indicators calculation: Volatility, Frequency of Profit and Loss….
.. Draw Down: Periodic, yearly, and consecutive.
.. Returns calculation: By period, median, standard deviations
.. Linear regression: Jensen’s Alpha, R2, covariance, correlation, Beta, efficient frontier
.. Ratios: Treynor, Sharpe, Sortino, Hurst, Renta/VaR, Tracking Error….
.. Cornish Fisher’s VaR at Trust Interval xx% (%, parameterized horizon)
>> PERFORMANCE CALCULATION
This gives for each fund:
>. The performance of each line and its contribution to the global performance.
>. The performance of assets population and its contribution to the global performance.
>> PERFORMANCE ALLOCATION
Performance allocation can analyze the performance of a fund:
>. By sub-group (Example: Area, country, currency)
>. By sector
>. Analyze the gap in performance between each sub-group and its benchmark.
>> PERFORMANCE CONTRIBUTION
The contribution to the performance describes the variations occurred in the performances of funds
through the performance trend of assets that constitute the fund, as well as it outlines the transactions
and events related to the net asset of the required fund.
>> For more information, please contact us.
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