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Performance
& Simulations

GAIA

Gaia integrates different methods to value a portfolio and calculate a wide range of portfolio performance indicators, peformance contribution and attribution. Simulations (what if scenario, yield curve shifts, etc.) allow portfolio robustness analysis.
Gaia integrates different methods to value a portfolio and calculate a wide range of portfolio performance indicators, peformance contribution and attribution. Simulations (what if scenario, yield curve shifts, etc.) allow portfolio robustness analysis.

Our Services

Performance Calculation Performance Calculation

Performance Calculation

Valuation Valuation

Valuation

Contribution Contribution

Contribution

Attribution Attribution

Attribution

Market and Forex Impact Market and Forex Impact

Market and Forex Impact

Simulations Simulations

Simulations

Performance Indices

Gaia provides a large panel of performance indices to the asset managers. Here are a few examples of the performance indices available in Gaia
  • Calculation of statistical indicators (Volatility, P&L Frequency, etc.) $imgaltcontactimage_2$
    Calculation of statistical indicators (Volatility, P&L Frequency, etc.)
  • Drawdown (Periodic, annual and consecutive) $imgaltcontactimage_2$
    Drawdown (Periodic, annual and consecutive)
  • Revenue Calculation (by Period, median, standard deviation) $imgaltcontactimage_2$
    Revenue Calculation (by Period, median, standard deviation)
  • Linear Regression, Jensen’s Alpha, R2, covariance, correlation, Beta, efficient frontier undefined
    Linear Regression, Jensen’s Alpha, R2, covariance, correlation, Beta, efficient frontier
  • Ratios, such as $imgaltcontactimage_2$
    Ratios, such as
Gaia provides a large panel of performance indices to the asset managers. Here are a few examples of the performance indices available in Gaia
 

Ratio Samples

  • The Tracking Error
    The Tracking Error measures the standard deviation of the difference in rate of return between the portfolio and its benchmark.
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    The Tracking Error measures the standard deviation of the difference in rate of return between the portfolio and its benchmark.
  • The Sharpe Ratio
    The Sharpe ratio which is determined by the ratio between the incremental rate of return of the fund versus the risk-free rate of return.
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    The Sharpe ratio which is determined by the ratio between the incremental rate of return of the fund versus the risk-free rate of return.
  • The Sortino Ratio
    The Sortino ratio is similar to the Sharpe ratio, except for the fact that only decreasing trends in portfolio value is considered to be a risk.
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    The Sortino ratio is similar to the Sharpe ratio, except for the fact that only decreasing trends in portfolio value is considered to be a risk.
  • The Treynor Ratio
    The Treynor ratio is also similar to the Sharpe ratio, except that the Treynor ratio uses beta as a proxy for volatility.
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    The Treynor ratio is also similar to the Sharpe ratio, except that the Treynor ratio uses beta as a proxy for volatility.
  • The Information Ratio
    The Information ratio is defined by the residual rate of return of the portfolio over its residual risk.
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    The Information ratio is defined by the residual rate of return of the portfolio over its residual risk.
  • The Hurst Ratio
    The Hurst ratio, which shows the tenacity and the positive correlation between series of returns of an asset or of a portfolio.
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    The Hurst ratio, which shows the tenacity and the positive correlation between series of returns of an asset or of a portfolio.
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