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PORTFOLIO ANALYSIS


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.

“Open my eyes that I may see wonderful things in your law. (Ps. 119:18)”.

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.

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