110513 OMEGA
Document Sample
Analisi performance
Portafoglio: OMEGA 100 Benchmark: SXXP Dt inizio: 01/08/2010 Dt fine: 05/12/2011 Valuta: EUR
Periodo: 1 G Dati stor: Rend tot
Rend tot: 24.334 Benchmark: 14.592 Analisi performance
30.00 Performance: Giornaliero Portafoglio Benchmark
Total Return 1 Mesi 1.87 3.06
Total Return MTD -0.46 -0.15
25.00 Total Return QTD 1.81 3.30
Total Return YTD 2.85 4.04
Total Return 3 Mesi 0.63 -0.61
20.00 Total Return 6 Mesi 9.88 6.38
Total Return 1 Anno 16.11 13.62
Total Return 2 Anno -- 46.71
15.00 Total Return 3 Anno -- -2.84
Risk: Settimanale
10.00
Standard Deviation 1 Anno 17.33 17.12
Semivariance 1 Anno 20.56 19.22
Beta 1 Anno 0.92 --
5.00
Correlation 1 Anno 0.91 --
R-Squared 1 Anno 0.83 --
0.00
Information Ratio 1 Anno 0.14 --
Sharpe Ratio vs Risk Free 1 Anno 0.81 0.76
Tracking Error 1 Anno 7.32 --
-5.00
-10.00
1/
1/
2/
3/
3/
4/
4/
5/
5/
5/
6/
6/
7/
7/
8/
8/
9/
9/
10
10
11
11
12
12
1/
1/
2/
2/
3/
3/
4/
4/
5/
16
31 0
15 0
2/
17
1/
16
1/
16
31 0
15 0
30 0
15 0
30 0
14 0
29 0
13 0
28 0
11 10
26 1
10 1
25 1
12 1
27 1
11 1
26 1
11 1
/1
/2
/1
/2
/1
/2
20
20
20
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
3/
8/
2/
7/
2/
7/
/2
/2
/2
/2
/2
/2
/2
/2
/2
01
01
01
10
01
10
01
10
01
01
01
01
01
01
01
01
01
01
20
20
20
20
20
20
01
01
01
01
01
01
01
01
01
0
0
0
0
10
10
10
10
10
1
SXXP OMEGA 100
Performance vs Benchmark Distribuzione rendimento
12.00 80
10.00
8.00 60
6.00
Periodictà
4.00 40
2.00
0.00 20
-2.00
-4.00 0
1/
2/
3/
3/ 10
4/ 010
5/ 010
5/ 10
6/ 010
7/ 010
7/ 10
8/ 010
9/ 010
10 010
10 010
11 201
12 201
12 010
1/ 201
2/ 011
2/ 11
3/ 011
4/ 011
4/ 11
-3
-3
-2
-2
-1
-1
-0
-0
0.
0.
1.
1.
2.
2.
3.
3.
4.
4.
5.
5.
2
12 0
5/
26
16
7/
28
18
9/
30
20
10
14
4/
25
18
8/
29
25
7
25
75
2
75
2
75
2
7
25
75
.7
.2
.7
.2
.7
.2
.7
.2
/1
/2
/1
/3
/2
2/
5
5
5
5
5
20
20
20
20
20
5
5
5
5
5
5
5
5
/2
/2
/2
/2
/2
/2
/2
/2
/2
2/
2/
/2
4/
/2
/2
/2
/2
20
01
01
1
0
1
Periodo assoluto
0
0
0
The format and content of this report may not be modified or altered (including, but not limited to, via deletion or addition) in any way.The BLOOMBERG PROFESSIONAL service, BLOOMBERG Data and BLOOMBERG ALPHA Enterprise Reporting (the “Services”) are owned and distributed locally by
Bloomberg Finance L.P. (“BFLP”) and its subsidiaries in all jurisdictions other than Argentina, Bermuda, China, India, Japan and Korea (the “BLP Countries”). BFLP is a wholly-owned subsidiary of Bloomberg L.P. (“BLP”). BLP provides BFLP with all global marketing and operational support and service for
the Services and distributes the Services either directly or through a non-BFLP subsidiary in the BLP Countries. BFLP, BLP and their affiliates do not provide investment advice or guarantee the accuracy of prices or information in the Services. Nothing on the Services shall constitute an offering of financial
instruments by BFLP, BLP or their affiliates.
Bloomberg ® Performance 05/13/2011 06:29:06 1
Analisi performance
Portafoglio: OMEGA 100 Benchmark: SXXP Dt inizio: 01/08/2010 Dt fine: 05/12/2011 Valuta: EUR
Periodo: 1 G Dati stor: Rend tot
Analisi periodo assoluto Analisi periodo 1 G Return
6.00 Positiva Negativa Tot Performance periodica Performance cumulativa
Numero 189 160 349 Portafoglio Benchmark +/- Portafoglio Benchmark +/-
% 54.15 45.85 100.00 05/12/2011 -0.25 -0.67 0.43 24.33 14.59 9.74
Media 0.80 -0.80 0.07 05/11/2011 -0.23 0.37 -0.60 24.64 15.37 9.27
4.00 Dev standard 0.74 0.77 1.10 05/10/2011 0.61 0.92 -0.31 24.93 14.95 9.98
Sequenza mass 8 7 8 05/09/2011 0.34 -0.28 0.62 24.17 13.90 10.27
Sequenza media 2.36 1.98 2.17 05/06/2011 1.16 1.39 -0.23 23.74 14.21 9.53
05/05/2011 0.19 -0.18 0.37 22.32 12.64 9.68
2.00 05/04/2011 -1.50 -1.28 -0.22 22.09 12.84 9.25
05/03/2011 -1.18 -0.52 -0.66 23.95 14.31 9.64
05/02/2011 0.42 0.13 0.30 25.44 14.91 10.53
04/29/2011 -0.17 0.36 -0.53 24.91 14.76 10.15
0.00 04/28/2011 -0.25 0.33 -0.58 25.13 14.36 10.77
Migliori-Peggiori 04/27/2011 0.03 0.37 -0.34 25.44 13.98 11.46
Performance Data 04/26/2011 0.75 0.30 0.45 25.41 13.56 11.85
Migliore 1 5.07 05/10/2010 04/25/2011 0.00 0.00 0.00 24.48 13.23 11.25
-2.00 Migliore 2 4.16 09/01/2010 04/22/2011 0.00 0.00 0.00 24.48 13.23 11.25
Migliore 3 3.42 08/02/2010 04/21/2011 0.02 0.56 -0.54 24.48 13.23 11.25
Peggiore 1 -3.99 05/19/2010 04/20/2011 2.22 1.73 0.49 24.45 12.59 11.85
Peggiore 2 -3.53 05/07/2010 04/19/2011 0.90 0.50 0.39 21.75 10.68 11.07
-4.00 Peggiore 3 -3.12 06/29/2010 04/18/2011 -1.58 -1.59 0.02 20.67 10.13 10.54
04/15/2011 0.60 0.30 0.30 22.60 11.91 10.69
1/
3/ 01
4/ 10
5/ 10
5/ 10
6/ 01
7/ 01
8/ 01
9/ 01
10 01
11 20
12 /20
1/ 20
2/ 01
3/ 01
4/ 01
31
2/
1/
1/
31
30 0
30 0
29 0
28 0
26 10
25 1
27 1
26 1
/2 0
/2 10
/2 10
20
20
20
/2
/2
/2
/2
/2
/2
8/
7
7/
/2
/2
/2
/2
04/14/2011 -0.71 -0.40 -0.31 21.87 11.58 10.29
01
0
1
04/13/2011 0.57 0.75 -0.19 22.74 12.03 10.72
04/12/2011 -1.48 -1.69 0.21 22.05 11.19 10.86
04/11/2011 0.00 -0.24 0.24 23.88 13.10 10.79
04/08/2011 0.23 0.35 -0.12 23.88 13.37 10.51
04/07/2011 -0.34 -0.26 -0.08 23.60 12.98 10.62
04/06/2011 0.20 0.25 -0.05 24.02 13.28 10.74
Analisi periodo relativo Analisi periodo 04/05/2011 0.40 0.24 0.16 23.77 12.99 10.78
2.00 Positiva Negativa Coerente Incoerente 04/04/2011 0.01 0.10 -0.09 23.28 12.72 10.55
Numero 182 167 293 56 04/01/2011 0.94 1.51 -0.57 23.26 12.61 10.66
% 52.15 47.85 83.95 16.05 03/31/2011 -0.13 -0.95 0.82 22.12 10.94 11.18
Differenza media 0.42 -0.41 0.03 0.00 03/30/2011 1.13 0.76 0.37 22.28 12.00 10.28
1.00 Differenza dev std 0.33 0.33 0.50 0.70 03/29/2011 -0.06 0.10 -0.16 20.91 11.15 9.76
Sequenza mass 6 6 37 3 03/28/2011 0.30 0.09 0.22 20.99 11.04 9.95
Sequenza media 2.04 1.90 6.37 1.24 03/25/2011 0.82 0.11 0.71 20.62 10.94 9.68
0.00 03/24/2011 1.04 0.99 0.04 19.64 10.82 8.82
03/23/2011 0.97 0.50 0.47 18.41 9.73 8.68
03/22/2011 -0.64 -0.19 -0.45 17.28 9.18 8.09
03/21/2011 1.33 1.76 -0.43 18.03 9.40 8.64
-1.00 03/18/2011 0.64 0.21 0.43 16.48 7.51 8.97
03/17/2011 2.34 1.88 0.46 15.75 7.29 8.46
03/16/2011 -1.53 -1.51 -0.01 13.10 5.31 7.79
Migliori-Peggiori 03/15/2011 -2.75 -2.27 -0.48 14.85 6.93 7.92
-2.00 Differenza Perf fondo Perf indice Data 03/14/2011 -0.93 -1.06 0.13 18.10 9.42 8.69
Migliore 1 1.55 0.49 -1.06 08/06/2010 03/11/2011 -1.21 -0.89 -0.32 19.21 10.58 8.62
Migliore 2 1.43 2.46 1.03 02/26/2010 03/10/2011 -0.63 -1.17 0.54 20.66 11.57 9.09
-3.00 Migliore 3 1.41 4.16 2.75 09/01/2010 03/09/2011 0.17 -0.15 0.32 21.43 12.89 8.54
Peggiore 1 -2.10 5.07 7.17 05/10/2010 03/08/2011 0.55 0.39 0.16 21.22 13.06 8.16
1/
3/
4/ 10
5/ 10
5/ 10
6/ 01
7/ 01
8/ 01
9/ 01
10 01
11 20
12 /20
1/ 20
2/ 01
3/ 01
4/ 01
31
2/ 10
1/
1/
31
30 0
30 0
29 0
28 0
26 10
25 1
27 1
26 1
Peggiore 2 -1.57 -0.94 0.63 07/23/2010
/2 0
/2 10
/2 10
03/07/2011 -0.69 -0.42 -0.27 20.55 12.62 7.93
20
20
20
/2
/2
/2
/2
/2
/2
8/
7
7/
/2
/2
/2
/2
0
01
Peggiore 3 -1.36 -0.14 1.22 06/28/2010 03/04/2011 -0.71 -0.58 -0.13 21.39 13.10 8.29
1
03/03/2011 0.11 0.36 -0.25 22.26 13.76 8.50
History limited to maximum 51 dates.
The format and content of this report may not be modified or altered (including, but not limited to, via deletion or addition) in any way.The BLOOMBERG PROFESSIONAL service, BLOOMBERG Data and BLOOMBERG ALPHA Enterprise Reporting (the “Services”) are owned and distributed locally by
Bloomberg Finance L.P. (“BFLP”) and its subsidiaries in all jurisdictions other than Argentina, Bermuda, China, India, Japan and Korea (the “BLP Countries”). BFLP is a wholly-owned subsidiary of Bloomberg L.P. (“BLP”). BLP provides BFLP with all global marketing and operational support and service for
the Services and distributes the Services either directly or through a non-BFLP subsidiary in the BLP Countries. BFLP, BLP and their affiliates do not provide investment advice or guarantee the accuracy of prices or information in the Services. Nothing on the Services shall constitute an offering of financial
instruments by BFLP, BLP or their affiliates.
Bloomberg ® Periodo 05/13/2011 06:29:06 2
Analisi performance
Portafoglio: OMEGA 100 Benchmark: SXXP Dt inizio: 01/08/2010 Dt fine: 05/12/2011 Valuta: EUR
Periodo: 1 G Dati stor: Rend tot
Tracking Mean Return Sett: 52 Sett Annualized
7 80.00
5 60.00
40.00
3
OMEGA 100
20.00
1
0.00
-1
1/
2/ 010
2/ 10
3/ 010
3/ 010
4/ 010
4/ 010
5/ 010
6/ 010
6/ 1 0
7/ 010
7/ 10
8/ 010
8/ 010
9/ 010
9/ 010
10 010
11 201
11 010
12 201
12 010
1/ 201
1/ 011
2/ 011
3/ 011
3/ 11
4/ 011
4/ 1 1
18
4/
21
10
27
13
30
17
3/
20
7/
24
10
27
13
30
10
27
13
2/
19
5/
22
/1
/3
/2
/7
/2
20
20
20
20
20
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
7/
/2
0/
/2
4/
/2
/2
/2
/2
/2
01
1
0
0
0
OMEGA 100 SXXP
-3
Standard Deviation Sett: 52 Sett Annualized
-5 25.00
-5 -2.6 -0.2 2.2 4.6 7
SXXP
20.00
Se la maggioranza dei ritorni supera la linea breakeven, il fondo ha battuto il benchmark.
15.00
1ma osservzne 01/11/2010 O 182 Periodi in rialzo --- Retta di regressione
O 167 Periodi in ribasso --- Retta di breakeven
10.00
Indicatori tracking
Total Bull Bear
Alpha 0.03 0.07 0.04
5.00
Beta 0.89 0.85 0.92
Correlation 0.88 0.77 0.80
Mean Excess Return 8.98 -15.94 48.06
Information Ratio 0.88 -1.56 4.78 0.00
Jensen Alpha 12.37 -26.14 -4.99
1/
2/
2/ 10
3/ 010
3/ 010
4/ 010
4/ 010
5/ 010
6/ 010
6/ 10
7/ 010
7/ 10
8/ 010
8/ 010
9/ 010
9/ 010
10 010
11 201
11 010
12 201
12 010
1/ 201
1/ 011
2/ 011
3/ 011
3/ 11
4/ 011
4/ 11
18
4/
21
10
27
13
30
17
3/
20
7/
24
10
27
13
30
10
27
13
2/
19
5/
22
/1
/3
/2
/7
/2
R-Squared 0.77 0.60 0.64
20
20
20
20
20
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
7/
/2
0/
/2
4/
/2
/2
/2
/2
/2
01
01
Sortino Ratio Vs Index 0.42 -1.33 2.31
0
1
0
0
0
Tracking Error 10.22 10.19 10.05
OMEGA 100 SXXP
The format and content of this report may not be modified or altered (including, but not limited to, via deletion or addition) in any way.The BLOOMBERG PROFESSIONAL service, BLOOMBERG Data and BLOOMBERG ALPHA Enterprise Reporting (the “Services”) are owned and distributed locally by
Bloomberg Finance L.P. (“BFLP”) and its subsidiaries in all jurisdictions other than Argentina, Bermuda, China, India, Japan and Korea (the “BLP Countries”). BFLP is a wholly-owned subsidiary of Bloomberg L.P. (“BLP”). BLP provides BFLP with all global marketing and operational support and service for
the Services and distributes the Services either directly or through a non-BFLP subsidiary in the BLP Countries. BFLP, BLP and their affiliates do not provide investment advice or guarantee the accuracy of prices or information in the Services. Nothing on the Services shall constitute an offering of financial
instruments by BFLP, BLP or their affiliates.
Bloomberg ® Tracking - Statistiche scorrevoli 05/13/2011 06:29:06 3
Analisi performance
Portafoglio: OMEGA 100 Benchmark: SXXP Dt inizio: 01/08/2010 Dt fine: 05/12/2011 Valuta: EUR
Periodo: 1 G Dati stor: Rend tot
Seasonality
Anno Gen Feb Mar Apr Mag Giu Lug Ago Set Ott Nov Dic
2010 -- 2.54 6.70 1.03 -8.58 -3.43 4.74 0.55 8.43 2.83 0.98 6.07
2011 0.07 1.32 -0.37 2.28 -- -- -- -- -- -- -- --
Average 0.07 1.93 3.16 1.66 -8.58 -3.43 4.74 0.55 8.43 2.83 0.98 6.07
10.00
5.00
0.00
-5.00
-10.00
Gen Feb Mar Apr Mag Giu Lug Ago Set Ott Nov Dic
2011 2010
The format and content of this report may not be modified or altered (including, but not limited to, via deletion or addition) in any way.The BLOOMBERG PROFESSIONAL service, BLOOMBERG Data and BLOOMBERG ALPHA Enterprise Reporting (the “Services”) are owned and distributed locally by
Bloomberg Finance L.P. (“BFLP”) and its subsidiaries in all jurisdictions other than Argentina, Bermuda, China, India, Japan and Korea (the “BLP Countries”). BFLP is a wholly-owned subsidiary of Bloomberg L.P. (“BLP”). BLP provides BFLP with all global marketing and operational support and service for
the Services and distributes the Services either directly or through a non-BFLP subsidiary in the BLP Countries. BFLP, BLP and their affiliates do not provide investment advice or guarantee the accuracy of prices or information in the Services. Nothing on the Services shall constitute an offering of financial
instruments by BFLP, BLP or their affiliates.
Bloomberg ® Seasonality 05/13/2011 06:29:06 4
