This is a Active Portfolio Management Balanced Scorecard Report, it is one of reports that Balanced Scorecard Designer can generate for Active Portfolio Management scorecard. With this software you can also design your own KPIs, Balanced Scorecards and metrics.

Active portfolio management

Report includes: 1 month(s) 49 day(s), from 05.04.2008 to 24.05.2008

Name

Start value

End value

Dynamic

Contains

Active portfolio management

47,97 %

29,77 %

-18,2 %

Quantitative Metrics	(37,2%, -38,15%)
Asset Allocation Metrics	(29,5%, -3,15%)
Risk-adjusted Return Metrics	(19,3%, -25,89%)

Graph for Active portfolio management

Data for Active portfolio management

Dates	Value
05.04.2008	47,97
12.04.2008	67,19
19.04.2008	59,92
26.04.2008	41,24
03.05.2008	49,67
10.05.2008	45,38
17.05.2008	37,37
24.05.2008	29,77

Quantitative Metrics

Name

Start value

End value

Dynamic

Parent

Contains

Quantitative Metrics

75,37 %

37,22 %

-38,15%

Active portfolio management

Indicators

Beta

Standard Deviation

Nonsystematic Risk

R-square *

* - Information for this metric is limited in sample report

Graph for Quantitative Metrics

Data for Quantitative Metrics

Dates	Value	Weight
05.04.2008	75,37	3
12.04.2008	41,83	3
19.04.2008	69,98	3
26.04.2008	28,24	3
03.05.2008	42,64	3
10.05.2008	76,9	3
17.05.2008	49,01	3
24.05.2008	37,22	3

Beta

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Beta	2,514	0,864	-1,65	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

Data for Beta

Dates	Weight	Min	Max	Value
05.04.2008	4	0	3	2,514
12.04.2008	4	0	3	1,236
19.04.2008	4	0	3	2,88
26.04.2008	4	0	3	0,519
03.05.2008	4	0	3	0,723
10.05.2008	4	0	3	2,976
17.05.2008	4	0	3	0,336
24.05.2008	4	0	3	0,864

Standard Deviation

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Standard Deviation	2,062	7,651	+ 5,589	%	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

Data for Standard Deviation

Dates	Weight	Min	Max	Value
05.04.2008	4	1	10	2,062
12.04.2008	4	1	10	5,437
19.04.2008	4	1	10	3,448
26.04.2008	4	1	10	7,066
03.05.2008	4	1	10	5,518
10.05.2008	4	1	10	4,528
17.05.2008	4	1	10	1,909
24.05.2008	4	1	10	7,651

Nonsystematic Risk

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Nonsystematic Risk	7,46	3,62	-3,84	Score	Minimize	Quantitative Metrics

Description The risk that can be eliminated by the diversification. Defined as Total Risk minus systematic (market) risk.

Graph for Nonsystematic Risk

Data for Nonsystematic Risk

Dates	Weight	Min	Max	Value
05.04.2008	1	0	10	7,46
12.04.2008	1	0	10	7,21
19.04.2008	1	0	10	8,9
26.04.2008	1	0	10	3,74
03.05.2008	1	0	10	1,88
10.05.2008	1	0	10	3,66
17.05.2008	1	0	10	7,6
24.05.2008	1	0	10	3,62

Asset Allocation Metrics

Name

Start value

End value

Dynamic

Parent

Contains

Asset Allocation Metrics

32,64 %

29,49 %

-3,15%

Active portfolio management

Indicators

Average Return

Impact of Asset Allocation

Graph for Asset Allocation Metrics

Data for Asset Allocation Metrics

Dates	Value	Weight
05.04.2008	32,64	5
12.04.2008	87,53	5
19.04.2008	61,53	5
26.04.2008	47,43	5
03.05.2008	57,55	5
10.05.2008	16,4	5
17.05.2008	32,19	5
24.05.2008	29,49	5

Average Return

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Average Return	6,825	9,24	+ 2,415	%	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

Data for Average Return

Dates	Weight	Min	Max	Value
05.04.2008	7	0	35	6,825
12.04.2008	7	0	35	29,26
19.04.2008	7	0	35	20,79
26.04.2008	7	0	35	15,54
03.05.2008	7	0	35	25,025
10.05.2008	7	0	35	1,645
17.05.2008	7	0	35	8,085
24.05.2008	7	0	35	9,24

Impact of Asset Allocation

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Impact of Asset Allocation	63,3	36,7	-26,6	%	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

Data for Impact of Asset Allocation

Dates	Weight	Min	Max	Value
05.04.2008	3	0	100	63,3
12.04.2008	3	0	100	96,7
19.04.2008	3	0	100	66,5
26.04.2008	3	0	100	54,5
03.05.2008	3	0	100	25
10.05.2008	3	0	100	43,7
17.05.2008	3	0	100	53,4
24.05.2008	3	0	100	36,7

Risk-adjusted Return Metrics

Name

Start value

End value

Dynamic

Parent

Contains

Risk-adjusted Return Metrics

45,2 %

19,31 %

-25,89%

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

Data for Risk-adjusted Return Metrics

Dates	Value	Weight
05.04.2008	45,2	2
12.04.2008	54,4	2
19.04.2008	40,8	2
26.04.2008	45,26	2
03.05.2008	40,52	2
10.05.2008	70,56	2
17.05.2008	32,85	2
24.05.2008	19,31	2

Sharpe's Measure

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Sharpe's Measure	16,65	2,07	-14,58	%	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

Data for Sharpe's Measure

Dates	Weight	Min	Max	Value
05.04.2008	3	0	90	16,65
12.04.2008	3	0	90	33,3
19.04.2008	3	0	90	17,46
26.04.2008	3	0	90	20,07
03.05.2008	3	0	90	16,74
10.05.2008	3	0	90	64,44
17.05.2008	3	0	90	21,15
24.05.2008	3	0	90	2,07

M-sqared Measure

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	M-sqared Measure	37,6	34,1	-3,5	%	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

Data for M-sqared Measure

Dates	Weight	Min	Max	Value
05.04.2008	1	0	100	37,6
12.04.2008	1	0	100	65,8
19.04.2008	1	0	100	15,2
26.04.2008	1	0	100	90,1
03.05.2008	1	0	100	43,8
10.05.2008	1	0	100	46,2
17.05.2008	1	0	100	28,7
24.05.2008	1	0	100	34,1

Jensen's Alpha

	Name	Start value	End value	Dynamic	Measure units	Optimization method	Parent
	Jensen's Alpha	46,3	36	-10,3	%	Maximize	Risk-adjusted Return Metrics

Description Jensen's Alpha measures the portfolio alpha value and can be defined as the average return on the portfilio over and beyond that of identified by the CAPM given the portfolio's beta and average market return. Jensen's Alpha = average return on the portfolio - [average return on the risk-free asset + Beta of the portfolio x (average return on the market - average return on the risk-free asset)]

Graph for Jensen's Alpha

Data for Jensen's Alpha

Dates	Weight	Min	Max	Value
05.04.2008	2	0	100	46,3
12.04.2008	2	0	100	65,5
19.04.2008	2	0	100	38,9
26.04.2008	2	0	100	44,3
03.05.2008	2	0	100	44,4
17.05.2008	2	0	100	41,8
24.05.2008	2	0	100	36

Created by: AKS-Labs
Report created with Balanced Scorecard Designer at 28.04.2008 23:48:19