Cinnamon Core as a performance engine
Return and risk for any consolidation.
Core calculates return and risk on the daily states, for any consolidation you form, against any benchmark you define. In the report, on screen or through the API.
- 100,000portfolios calculated in under an hour
Two returns, both right
Why Core calculates more than one return
A portfolio gains 10 percent in the first half of the year. At mid-year the client adds half of her initial investment. In the second half the portfolio loses 2 percent.
Time-weighted
What the manager achieved. The deposit plays no part.
Money-weighted (Modified Dietz)
What the client experienced. More capital was invested in the weaker half.
Worked example for illustration. 1.10 × 0.98 − 1 = 7.8 %; Dietz: (156.8 − 100 − 50) / (100 + ½ × 50) = 5.4 %.
What Core calculates
Methods and figures
Return
- Time-weighted return (TWR), chained daily, annualised too
- Money-weighted return (MWR): Modified Dietz, Simple Dietz and IRR
- Gross and net, with fees included or excluded
- For any period, consolidation and segment
Risk
- Volatility, annualised
- Maximum drawdown
- Value at risk 95 %, historical
- Sharpe ratio
- Tracking error
- Information ratio
- Alpha and beta
- Correlation
- Active return
Benchmark and strategy
- Blended benchmarks of securities, currencies, consolidations and constants
- Indices from MSCI, SIX, FTSE and J.P. Morgan connected
- Rebalancing daily, monthly, quarterly, half-yearly, yearly or on set dates
- Yearly return offset, for target returns for example
- Strategies per consolidation
Breakdown
- Figures per segment and per strategy component
- Segmentations by GICS, country (ISO 3166) and currency (ISO 4217), plus your own
- Look-through into fund holdings
- Bonds: yield to maturity, Macaulay and modified duration
In Cinnamon Core
One consolidation, every figure
For a chosen period: valuation, return by both methods, drawdown and risk, against the consolidation’s strategy.
Next step
Your structure, booked in Core
In half an hour we show how Core books a transaction, forms a consolidation and calculates its return, and talk through how your mandate structure would look in it.
Free slots in the calendar, no Microsoft account needed.
Opens your mail client with the enquiry prepared.
Or call us:+41 44 454 84 84
Your contact
Thomas Tscherrig
Cinnamon · bmpi AG