Performance Calculation
Turn NAV per share into a clean Total Return index and full performance metrics.
Performance Calculation turns a share class's NAV per share into a clean Total Return index (starting at 100) that strips out dividends, fees, and FX effects to isolate the underlying strategy's performance. From that index it derives a full set of performance and risk metrics. It answers: how has this share class actually performed, and how much risk did it take to get there?
How it works
It strips out the effects that are not pure portfolio performance (dividends, fees, performance fees, and FX) to isolate the underlying return, then compounds it into a Total Return index that starts at 100 and grows with the strategy over time. From that index it derives a standard set of analytics, including volatility, drawdown, expected shortfall, excess return, downside risk, and the Sharpe and Sortino ratios. Unlike most other components, this one is descriptive analytics rather than anomaly detection.
What you get
- A Total Return index tracking performance over time, including inception-to-date when full history is available.
- Return metrics such as compounded and excess return.
- Risk metrics: volatility, drawdown and maximum drawdown, downside risk, and expected shortfall.
- Risk-adjusted metrics: the Sharpe ratio and the Sortino ratio.
How to use it in Spark
The index and metrics arrive as data in your workspace. Plot the Total Return index on a canvas, compare metrics across share classes in a data view, and feed them into workflows or the Agent.