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 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.
About Performance Analysis Workflow
Use the Performance Toolkit
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