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Performance measurement

The "performance measurement" module is a calculation tool for all the performance/risk indicators, based on multiple frequencies, currencies, shares classes and gross and net of management fees).

Main Features:

For calculating performance indicators
  • Multi-frequency calculations
  • Multi-currency calculations
  • Multi-share calculations
  • Several performance calculations: IRR (Internal Rate
      of Return) , Time Weighted Return (Modified Dietz)
  • Gross/Net of fees
  • Cumulative and annualized performance
For Ex-post risk indicators
  • Volatility, Alpha, Beta, Sharpe Ratio, Treynor Ratio, Correlation, Systematic and Specific Risk, Tracking error, Information Ratio, etc.

The "Performance measurement" module provides customisation possibilities and presentation specific to the BI-SAM Reporting Suite.

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