The Performance Analysis report uses single-period returns to calculate multi-period returns and risk statistics for analysis and reporting purposes. With the Performance Analysis report, you can:
Calculate returns across valuation dates by compounding single-period returns into cumulative returns.
Geometrically link daily returns to form month-to-date returns, and dynamically link returns over a selected horizon such as 3, 6, 9 months; 1, 3, 5 years.
Annualize return performance for cumulative performance greater than one year.
Compare returns against a benchmark of choice, and calculate the difference between those returns.
Derive measures of risk and risk adjusted return, including:
Absolute Risk measures such as standard deviation of returns.
Target risk measures such as Downside Deviation.
Relative Risk measures such as M2, Sharpe Ratio, Tracking Risk, and Treynor Ratio.
Capital Asset Pricing Model (CAPM) derived statistics such as the fund's Alpha, Beta, and R2.
Drawdown measures, such as Maximum Drawdown, Calmar, and Shortfall risk.
Calculate Internal Rate of Return (IRR) statistics for period analysis beyond a standard reporting frequency.
Convert returns and IRR calculations from one base currency to another.
Drill down into reports to the security level to analyze prices, analytics, and other data.
Perform an analysis with security under multiple nodes in a performance model.
Perform analysis on an ad hoc basis, using a grouping that differs from your standard performance model, to do "what-if" analysis without rerunning and committing historical performance for the grouping in a new performance model. This allows you to "look through" a compound instrument, such as an Exchange Traded Fund, into its constituents to see a true exposure.
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