A portfolio’s performance includes determining how bets on risk are paying out. With the factor performance attribution breakout, customers can answer the question “Did I deliver in performance on my risk allocation?”
Found under Analyze.Factors, customers can clearly evaluate how risky factors either help or harm the book as understood by their Sharpe on a per-factor basis.
The Factor performance table takes advantage of many existing OP tools, such as:
evaluating factor performance using any risk model
displaying active metrics to any selected benchmark
instantly calculating the factor performance for any selected period
note: less than one year of cumulative returns is used in annualized returns and annualized vol when a date period of less than 1 year is selected
segmenting the portfolio to analyze the factor performance for any specific group
This screen should help investment teams quickly evaluate their skill with factor bets. Contact Omega Point to learn how to take action and improve these metrics!