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Performance
& Simulations

GAIA

Gaia integrates different methods to value a portfolio and calculate a wide range of portfolio performance indicators, peformance contribution and attribution. Simulations (what if scenario, yield curve shifts, etc.) allow portfolio robustness analysis.
Gaia integrates different methods to value a portfolio and calculate a wide range of portfolio performance indicators, peformance contribution and attribution. Simulations (what if scenario, yield curve shifts, etc.) allow portfolio robustness analysis.

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
  • Calculation of statistical indicators (Volatility, P&L Frequency, etc.) $imgaltcontactimage_2$
    Calculation of statistical indicators (Volatility, P&L Frequency, etc.)
  • Drawdown (Periodic, annual and consecutive) $imgaltcontactimage_2$
    Drawdown (Periodic, annual and consecutive)
  • Revenue Calculation (by Period, median, standard deviation) $imgaltcontactimage_2$
    Revenue Calculation (by Period, median, standard deviation)
  • Linear Regression, Jensen’s Alpha, R2, covariance, correlation, Beta, efficient frontier undefined
    Linear Regression, Jensen’s Alpha, R2, covariance, correlation, Beta, efficient frontier
  • Ratios, such as $imgaltcontactimage_2$
    Ratios, such as
Gaia provides a large panel of performance indices to the asset managers. Here are a few examples of the performance indices available in Gaia
 

Ratio Samples

  • The Tracking Error
    The Tracking Error measures the standard deviation of the difference in rate of return between the portfolio and its benchmark.
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    The Tracking Error measures the standard deviation of the difference in rate of return between the portfolio and its benchmark.
  • The Sharpe Ratio
    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.
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    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
    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.
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    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
    The Treynor ratio is also similar to the Sharpe ratio, except that the Treynor ratio uses beta as a proxy for volatility.
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    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
    The Information ratio is defined by the residual rate of return of the portfolio over its residual risk.
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    The Information ratio is defined by the residual rate of return of the portfolio over its residual risk.
  • The Hurst Ratio
    The Hurst ratio, which shows the tenacity and the positive correlation between series of returns of an asset or of a portfolio.
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    The Hurst ratio, which shows the tenacity and the positive correlation between series of returns of an asset or of a portfolio.

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