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Johnson-Omega Portfolio Analysis Common features:

Performance Evaluation over entire available period against benchmark:

• Performance Evaluation over entire available period agains benchmark:
• Absolute Performance Measures, e.g. comp. return, volatility, asymmetry and tail fatness.
• Relative Performance Measures, i.e. excess returns, Jensen Alpha (skill) and Beta (luck)
• Performance Ratios, e.g. Sharpe, Sortino, Treynor, Calmar, Information and Omega.
• Advanced performance measures, e.g. maximum-gain-loss ratio.
• Performance evaluation over various periods: Entire, 10, 5, 3 and 1 year.
• 5 worst months and 5 best months analysis.

Johnson-Omega Gradient Analysis

• Identification of "time bombs" by checking the impact of slight weight changes on portfolio.
• Mean, variance, skewness (asymmetry) and kurtosis (tail fatness).
• Johnson Call (upside potential) and Johnson Put (downside risk)
• Performance Ratios, e.g. Sharpe, Sortino, Treynor, Calmar, Information and Omega.
• Here it becomes completely transparent how Johnson-Omega optimization works.

Optimized Portfolio and Comparison to Benchmark:

• Weights subject to moderate deviations w.r.t. current portfolio.
• Moments, upside potential, downside risk and Johnson-Omega.
• Density Charts to visualize improvement and minimum expected returns.

Details available upon request.