Charts and Analytics Module for CompositeBuilder

Create Powerful presentations for your composites…

The Charts and Analytics module adds over 70 additional descriptive, risk, and analytic measures  along with two additional tabular report formats and seven chart types:

Descriptive statistics

• Composite return
• Benchmark return (up to 4 benchmarks)
• Risk free benchmark return
• Number of portfolios in composite, end of year
• Number of portfolios in composite for entire year
• Number of portfolios in composite, beginning of year
• Standard deviation of portfolio returns within composite
• Total composite assets
• Total firm assets
• Percentage of Firm Assets represented by a composite
• High portfolio return within composite
• Low portfolio return within composite
• Range of portfolio returns within composite
• Percent non-fee-paying assets in composite, end of year
• Percent bundled-fee assets in composite, end of year
• Equal weighted mean return of portfolios in composite for the full year
• Equal weighted median return of portfolios in composite for the full year
• Mean monthly composite return
• Median monthly composite return
• Mean monthly composite absolute deviation
• Variance, monthly composite returns
• Standard deviation, monthly composite returns
• Mean monthly benchmark return
• Median monthly benchmark return
• Mean monthly benchmark absolute deviation
• Variance of monthly benchmark returns
• Standard deviation, monthly benchmark returns
• Skewness, monthly composite returns
• Kurtosis, monthly composite returns
• Excess kurtosis, monthly composite returns
• Bera-Jarque statistic, monthly composite returns
• Skewness, monthly benchmark returns.
• Kurtosis, monthly benchmark returns
• Excess kurtosis, monthly benchmark returns
• Bera-Jarque statistic, monthly benchmark returns
• Covariance
• Correlation
• Up capture indicator
• Down capture indicator
• Up number ratio
• Down number ratio
• Up percentage ratio
• Down percentage ratio
• Percentage gain ratio
• Composite Hurst index
• Benchmark Hurst index
• Composite bias ratio
• Benchmark bias ratio

• Performance mountain chart
• Performance bar chart
• Risk vs. return scatter plot
• Floating bar chart for portfolio dispersion
• Composite allocation pie chart
• Composite allocation bar chart
• Historical allocation bar chart

Charts and tables can be formatted to print one, two, or four per page.  Custom color schemes can be easily created.  Any number of charts and report tables can be combined to create powerful presentations.

Risk Measures

• Sharpe Ratio (geometric or arithmetic)
• Alternative Sharpe ratio
• Adjusted Sharpe ratio
• Revised Sharpe ratio
• Tracking error (geometric or arithmetic)
• Excess return (geometric or arithmetic)
• Information ratio (geometric or arithmetic)
• Adjusted information ratio (geometric or arithmetic)
• Relative Hurst index (geometric or arithmetic)

Regression statistics

• Regression beta
• Regression alpha
• CAPM Beta
• Jensen’s alpha
• R-Square
• Specific Risk
• Systematic risk
• Total risk
• Treynor ratio – geometric or arithmetic
• Extreme Risk
• Ex-post VaR 95% confidence (historical)
• Ex-post VaR 95% confidence (parametric)
• Ex-post VaR 99% confidence (parametric)
• Modified Ex-post VaR 95% confidence (parametric)
• Modified Ex-post VaR 99% confidence (parametric)

Drawdown

• Number of Drawdowns
• Maximum Drawdown
• Largest Individual Drawdown
• Average Drawdown (top 3)
• Average Drawdown (top 5)
• Average Drawdown (all)
• Average Annual Maximum Drawdown
• Pain Index
• Ulcer Index

Partial Moments

• Downside potential
• Downside risk
• Upside potential
• Upside risk
• Semi-variance
• Semi-deviation
• Omega ratio
• Minimum target return
• Sortino ratio
• Upside potential ratio
• Variability skewness

Risk Adjusted return

• M-squared
• M squared excess return (geometric or arithmetic)
• Differential return