PORTFOLIO ANALYSIS

[Corelio]

I'm beta testing this program for our investment shop. I'm wondering if I can get metrics on the portfolio performance such as Sharpe Ratio, standard deviation, and/or plot moving averages std. deviation bands on the Master Portfolio graph.

I tried to export the Master Portfolio data into a comma separated file so I could analyze the portfolio in Excel. However, the portfolio data is not generated, but only the investments in the portfolio. Is there any way around this?

The inability to analyze the portfolio performance with more quantitative rigorous metrics seems a major drawback for more sophisticated shops.

Thanks

[Mark]

Thank you for contacting Beiley Software.
We are closed for vacation from May 25th through May 29th.
We will reply to your post when we return.

[Mark]

Hello Corelio,

Yes, you can get Sharpe Ratio for your portfolio. This is only available in the Professional or higher versions. It is available as a field in a Custom report. For documentation on the Sharpe Ratio calculation, please see:

http://www.fundmanagersoftware.com/help ... ratio.html

You can also get Alpha, Beta, Correlation, and R-Squared for your portfolio. These are all available in a Custom report.

Currently, we only have a standard deviation calculation on prices, so for portfolios this is a simple weighted average. In the next update we will support calculating standard deviation of returns on any object, including portfolios. This calculation takes into account correlation between investments within any object, such as a portfolio.

Moving average plots are only available for investments.

What sort of portfolio data are you trying to export? Do you want the daily valuation of a portfolio? If so, use "File / Export / Other / Portfolio Value...".