This is a Active Portfolio Management Metric Dashboard (Diamond) Report, it is one of reports that Balanced Scorecard Designer can generate for Active Portfolio Management KPI. With this software you can also design your own scorecards, KPIs and metrics.


Active portfolio management

Report includes: 1 day(s), from 28.10.2008 to 28.10.2008

  Name Start value End value Dynamic Contains
Root Active portfolio management 49,22 % 49,22 % 0 %
Quantitative Metrics(76,6%, 0%)
Asset Allocation Metrics(30%, 0%)
Risk-adjusted Return Metrics(56,2%, 0%)

Graph for Active portfolio management

Graph for Active portfolio management

Data for Active portfolio management

DatesValue
28.10.200849,22

Quantitative Metrics

  Name Start value End value Dynamic Parent Contains
Root Quantitative Metrics 76,62 % 76,62 % 0% Active portfolio management
Indicators
Beta
Standard Deviation
Nonsystematic Risk *
R-square *
* - Information for this metric is limited in sample report

Graph for Quantitative Metrics

Graph for Quantitative Metrics

Data for Quantitative Metrics

DatesValueWeight
28.10.200876,623

Beta

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Beta 2,694 2,694 0 Score Maximize Quantitative Metrics
Description Beta is a standartized measure of systematic risk and can be defined as the covariance between the particular stock and the market devided by the squared standard deviation of the market. Beta measures the sensitivity of a security's returns to changes in the market return.
Target description Depends on risk aversion and industry

Graph for Beta

Graph for Beta

Data for Beta

DatesWeightMinMaxValue
28.10.20084032,694

Standard Deviation

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Standard Deviation 2,071 2,071 0 % Minimize Quantitative Metrics
Description Standard deviation of the rate of return is a measure of risk. It is defined as the square root of the variance, which is defined as the expected value of the squared deviations from the expected return.
Measured in the % or return.
Target description Depends on risk-return tradeoff of investor

Graph for Standard Deviation

Graph for Standard Deviation

Data for Standard Deviation

DatesWeightMinMaxValue
28.10.200841102,071

Asset Allocation Metrics

  Name Start value End value Dynamic Parent Contains
Root Asset Allocation Metrics 29,98 % 29,98 % 0% Active portfolio management
Indicators
Average Return
Impact of Asset Allocation

Graph for Asset Allocation Metrics

Graph for Asset Allocation Metrics

Data for Asset Allocation Metrics

DatesValueWeight
28.10.200829,985

Average Return

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Average Return 10,01 10,01 0 % Maximize Asset Allocation Metrics
Description Average return on the portfolio uder question. May be calculated using money-weighted or time-weighted approach depending on the allocation method.

Graph for Average Return

Graph for Average Return

Data for Average Return

DatesWeightMinMaxValue
28.10.2008703510,01

Impact of Asset Allocation

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Impact of Asset Allocation 33,2 33,2 0 % Maximize Asset Allocation Metrics
Description Return attributed to the asset classes that are distributed beyond the established allocation principles within the used strategy and depends on the manager's judgement of the particlular market composition.

Graph for Impact of Asset Allocation

Graph for Impact of Asset Allocation

Data for Impact of Asset Allocation

DatesWeightMinMaxValue
28.10.20083010033,2

Risk-adjusted Return Metrics

  Name Start value End value Dynamic Parent Contains
Root Risk-adjusted Return Metrics 56,21 % 56,21 % 0% Active portfolio management
Indicators
Sharpe's Measure
M-sqared Measure
Jensen's Alpha *
Treynor Measure *
T-squared Measure *
Appraisal (Information) Ratio *
* - Information for this metric is limited in sample report

Graph for Risk-adjusted Return Metrics

Graph for Risk-adjusted Return Metrics

Data for Risk-adjusted Return Metrics

DatesValueWeight
28.10.200856,212

Sharpe's Measure

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Sharpe's Measure 67,23 67,23 0 % Maximize Risk-adjusted Return Metrics
Description Sharpe's ratio measures the reward-to-total volatility tradeoff and can be obtaned by the division of the average portfolio excess return over the specified period by the standard deviation of returns over the sample period. Sharpe's measure = (average return on the portfolio - average return on the risk-free asset)/standard deviation of the portfolio

Graph for Sharpe's Measure

Graph for Sharpe's Measure

Data for Sharpe's Measure

DatesWeightMinMaxValue
28.10.2008309067,23

M-sqared Measure

  Name Start value End value Dynamic Measure units Optimization method Parent
Root M-sqared Measure 1,9 1,9 0 % Maximize Risk-adjusted Return Metrics
Description M-squared measure similarly to Sharpe's measure focuses on total volatility as a measure of risk, but has significantly easier interpretation of a risk-adjusted performance relative to the benchmark index. M-squared = return on the adjusted portfolio (the one that matches the volatility of the market index) - return on the market

Graph for M-sqared Measure

Graph for M-sqared Measure

Data for M-sqared Measure

DatesWeightMinMaxValue
28.10.2008101001,9
Created by: AKS-Labs
Report created with Balanced Scorecard Designer at 20.11.2008 17:03:28

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