FactMaster: About: Performance

Getting the answers to your questions about the historical performance of different investment alternatives can often be difficult - and expensive. Access to timely, long-term, comprehensive historical returns data and powerful analytical capabilities is what FactMaster is all about!

MEASUREMENT
FactMaster has the necessary performance measurement capabilities which let you analyze all of the major characteristics of historical performance. With FactMaster, you can quickly answer almost any question about the historical performance of different investments.

Return. View periodic and average historical returns.

Risk. See average, percentile distributions and moving average risk.

Correlation. Display the average and moving-average correlation between returns.

Beta/Alpha. Use the regression model to calculate the beta/alpha for any pair of data series.

CALCULATIONS
Most of the returns series are stored in the Historical Returns Database as monthly total returns (except some which are quarterly or are price returns). However, with FactMaster, you can effortlessly convert the returns into any desired format.

Differencing Interval. Show the returns interval as monthly, quarterly, or annually.

Calculation Method. Display returns as periodic, compound, unit value or moving average.

Inflation Adjustment. Use either nominal or real (inflation-adjusted) returns.

PRESENTATION
There are dozens of different ways that investment performance results can be shown in FactMaster. Customize the presentation to fit your needs!

Data Selection. Select up to 10 data series for analysis from any of the historical returns databases included with FactMaster.

Time Period. Specify the starting date and the ending date from the common time period for which there is data for all of the selected data series.

Calculation Method. Specify the desired calculation method for presenting the historical performance.

Horizons/Distributions. Enter five different time horizons and percentiles.

Presentation Formats. Display results in either a graph or a table. Print the reports from FactMaster, or 'cut and paste' the results to another spreadsheet or word processor.