Performance analysis and attribution

The most valid test of the value of risk forecasting is to quantify how well it forecasts risk. R-Squared makes this easy with its Performance module, enabling you to measure:

• Observed tracking error and portfolio volatility,
• Observed portfolio beta to benchmark,
• Benchmark-related return, in other words the performance effect of the portfolio beta.
• Portfolio alpha, which is due to factor exposures and stock-specific effects.