Use the Performance Analysis Report

Owned by Tom Fahey (Unlicensed)
Last updated: Jul 24, 2023 by Jacob Mathews (Deactivated)
1 min read

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.