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.