beta 110930
Document Sample
Analisi performance
Portafoglio: BETA 50-50 Benchmark: FIDMBILC Dt inizio: 10/28/2009 Dt fine: 09/27/2011 Valuta: EUR
Periodo: 1 G Dati stor: Rend tot TR Week: Port Default
Rend tot: 19.265 Benchmark: -1.789 Analisi performance
25.00 Performance: Giornaliero Portafoglio Benchmark
Total Return 1 Mesi 3.56 0.31
Total Return MTD 1.42 -1.58
Total Return QTD 1.19 -7.40
20.00 Total Return YTD 0.71 -8.72
Total Return 3 Mesi 1.39 -6.16
Total Return 6 Mesi 1.72 -8.06
Total Return 1 Anno 4.72 -6.66
15.00 Total Return 2 Anno -- -2.37
Total Return 3 Anno -- -1.96
Risk: Settimanale
10.00 Standard Deviation 1 Anni 7.14 7.76
Semivariance 1 Anno 7.47 8.95
Beta 1 Anno 0.62 --
Correlation 1 Anno 0.67 --
5.00
R-Squared 1 Anno 0.46 --
Information Ratio 1 Anno 1.94 --
Sharpe Ratio vs Risk Free 1 Anno 0.20 -1.19
Tracking Error 1 Anno 5.99 --
0.00
-5.00
11 12 12 1/ 2/ 2/ 3/ 4/ 4/ 5/ 6/ 6/ 7/ 8/ 9/ 9/ 10 11 11 12 1/ 1/ 2/ 3/ 3/ 4/ 5/ 6/ 6/ 7/ 8/ 8/ 9/
/1 /2 /2 13 3/ 24 17 7/ 28 19 9/ 30 21 11 1/ 22 /1 /3 /2 /1 5/ 26 16 9/ 30 20 11 1/ 22 13 3/ 24 14
1/ /2 3/ /2 20 /2 /2 20 /2 /2 20 /2 /2 /2 20 /2 3/ /2 4/ 5/ 20 /2 /2 20 /2 /2 /2 20 /2 /2 20 /2 /2
20 00 20 01 10 01 01 10 01 01 10 01 01 01 10 01 20 01 20 20 11 01 01 11 01 01 01 11 01 01 11 01 01
09 9 09 0 0 0 0 0 0 0 0 0 10 0 10 10 1 1 1 1 1 1 1 1 1
FIDMBILC BETA 50-50
Performance vs Benchmark Distribuzione rendimento
25.00 140
20.00 120
100
15.00
Periodictà
80
10.00
60
5.00
40
0.00 20
-5.00 0
10 11 12 1/ 2/ 3/ 4/ 5/ 6/ 7/ 8/ 9/ 10 11 12 1/ 2/ 3/ 4/ 5/ 6/ 7/ 8/ 9/ -1 -1 -1 -0 -0 -0 -0 -0 0. 0. 0. 0. 0. 1. 1. 1. 1.
/3 /3 /3 29 28 30 29 29 28 28 27 26 /2 /2 /2 24 23 25 24 24 23 23 22 21 .5 .3 .1 .9 .7 .5 .3 .1 09 3 5 7 9 1 3 5 7
1/ 0/ 0/ /2 /2 /2 /2 /2 /2 /2 /2 /2 6/ 5/ 5/ /2 /2 /2 /2 /2 /2 /2 /2 /2 99
20 20 20 01 01 01 01 01 01 01 01 01 20 20 20 01 01 01 01 01 01 01 01 01
09 09 09 0 0 0 0 0 0 0 0 0 10 10 10 1 1 1 1 1 1 1 1 1 99
99
...
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 and BLOOMBERG Data 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-
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Bloomberg ® Performance 09/30/2011 07:26:07 1
Analisi performance
Portafoglio: BETA 50-50 Benchmark: FIDMBILC Dt inizio: 10/28/2009 Dt fine: 09/27/2011 Valuta: EUR
Periodo: 1 G Dati stor: Rend tot TR Week: Port Default
Analisi periodo assoluto Analisi periodo 1 G Return
Positiva Negativa Tot Performance periodica Performance cumulativa
1.50
Numero 287 212 499 Portafoglio Benchmark +/- Portafoglio Benchmark +/-
% 57.52 42.48 100.00 09/27/2011 0.92 1.33 -0.41 19.27 -1.79 21.05
Media 0.30 -0.32 0.04 09/26/2011 0.50 0.61 -0.11 18.18 -3.07 21.26
1.00 Dev standard 0.23 0.30 0.41 09/23/2011 0.38 -0.28 0.66 17.59 -3.66 21.25
Sequenza mass 10 6 10 09/22/2011 -1.25 -1.54 0.29 17.15 -3.39 20.54
Sequenza media 2.63 1.96 2.30 09/21/2011 -0.69 -0.65 -0.04 18.63 -1.88 20.51
0.50 09/20/2011 0.24 0.14 0.10 19.46 -1.24 20.70
09/19/2011 -0.02 -0.51 0.49 19.18 -1.38 20.56
09/16/2011 0.80 0.64 0.15 19.20 -0.88 20.08
0.00 09/15/2011 -0.13 0.61 -0.74 18.26 -1.51 19.77
09/14/2011 0.21 0.44 -0.23 18.41 -2.10 20.52
09/13/2011 -0.14 0.00 -0.14 18.16 -2.54 20.70
Migliori-Peggiori 09/12/2011 -0.57 -1.00 0.43 18.33 -2.54 20.86
-0.50
Performance Data 09/09/2011 0.20 -0.68 0.88 19.00 -1.56 20.55
Migliore 1 1.47 05/10/2010 09/08/2011 0.61 0.49 0.12 18.76 -0.88 19.64
Migliore 2 1.16 05/06/2011 09/07/2011 0.44 1.09 -0.65 18.04 -1.36 19.40
-1.00 Migliore 3 1.10 08/12/2011 09/06/2011 0.13 -0.39 0.53 17.52 -2.42 19.94
Peggiore 1 -1.44 08/05/2011 09/05/2011 -0.20 -1.33 1.13 17.36 -2.03 19.40
Peggiore 2 -1.44 07/01/2010 09/02/2011 -0.53 -0.85 0.32 17.59 -0.71 18.31
-1.50 Peggiore 3 -1.25 09/22/2011 09/01/2011 0.53 0.35 0.18 18.22 0.14 18.08
11 12 2/ 3/ 4/ 6/ 7/ 9/ 10 11 1/ 2/ 3/ 5/ 6/ 8/ 9/
/1 /2 4/ 18 29 10 22 2/ /1 /2 6/ 17 31 12 23 4/ 15 08/31/2011 0.72 0.85 -0.13 17.60 -0.21 17.81
2/ 4/ 20 /2 /2 /2 /2 20 4/ 5/ 20 /2 /2 /2 /2 20 /2
20 20 10 01 01 01 01 10 20 20 11 01 01 01 01 11 01 08/30/2011 0.59 0.56 0.03 16.76 -1.05 17.81
09 09 0 0 0 0 10 10 1 1 1 1 1
08/29/2011 0.79 0.50 0.29 16.08 -1.60 17.68
08/26/2011 -0.50 -0.21 -0.28 15.16 -2.09 17.25
08/25/2011 -0.33 -0.23 -0.10 15.73 -1.88 17.62
08/24/2011 0.58 0.48 0.11 16.12 -1.66 17.78
08/23/2011 0.09 0.38 -0.29 15.44 -2.13 17.57
08/22/2011 0.07 0.05 0.02 15.34 -2.50 17.84
Analisi periodo relativo Analisi periodo 08/19/2011 -0.60 -1.14 0.54 15.26 -2.55 17.81
1.50
Positiva Negativa Coerente Incoerente 08/18/2011 -1.23 -1.44 0.21 15.96 -1.43 17.38
Numero 258 241 394 105 08/17/2011 0.37 0.25 0.13 17.40 0.01 17.39
% 51.70 48.30 78.96 21.04 08/16/2011 0.31 0.28 0.03 16.96 -0.23 17.20
1.00 Differenza media 0.27 -0.21 0.02 0.12 08/15/2011 -0.21 0.00 -0.21 16.60 -0.51 17.11
Differenza dev std 0.23 0.18 0.27 0.43 08/12/2011 1.10 1.32 -0.23 16.84 -0.51 17.36
Sequenza mass 6 7 21 4 08/11/2011 -0.10 0.50 -0.60 15.58 -1.81 17.39
0.50 Sequenza media 1.88 1.75 4.53 1.22 08/10/2011 0.22 -0.87 1.09 15.69 -2.30 17.99
08/09/2011 -0.14 -0.02 -0.12 15.44 -1.45 16.89
08/08/2011 -0.90 -1.41 0.52 15.60 -1.43 17.03
0.00 08/05/2011 -1.44 -1.10 -0.34 16.65 -0.01 16.66
08/04/2011 -0.18 -1.36 1.18 18.35 1.10 17.25
08/03/2011 -0.85 -0.85 0.00 18.57 2.49 16.08
-0.50 08/02/2011 -0.35 -0.96 0.62 19.58 3.37 16.21
08/01/2011 0.52 -0.22 0.75 20.00 4.37 15.62
Migliori-Peggiori 07/29/2011 -0.41 -0.33 -0.08 19.37 4.61 14.76
Differenza Perf fondo Perf indice Data 07/28/2011 0.01 -0.17 0.17 19.86 4.96 14.91
-1.00
Migliore 1 1.18 -0.18 -1.36 08/04/2011 07/27/2011 0.23 -0.51 0.74 19.85 5.13 14.72
Migliore 2 1.13 -0.20 -1.33 09/05/2011 07/26/2011 -0.52 -0.31 -0.21 19.58 5.67 13.91
Migliore 3 1.09 0.22 -0.87 08/10/2011 07/25/2011 0.03 -0.32 0.34 20.20 6.00 14.20
-1.50
11 12 2/ 3/ 4/ 6/ 7/ 9/ 10 11 1/ 2/ 3/ 5/ 6/ 8/ 9/ Peggiore 1 -1.10 1.47 2.56 05/10/2010
/1 /2 4/ 18 29 10 22 2/ /1 /2 6/ 17 31 12 23 4/ 15 07/22/2011 0.20 0.42 -0.22 20.17 6.34 13.83
2/ 4/ 20 /2 /2 /2 /2 20 4/ 5/ 20 /2 /2 /2 /2 20 /2 Peggiore 2 -0.88 -1.18 -0.30 01/13/2011
20 20 10 01 01 01 01 10 20 20 11 01 01 01 01 11 01 07/21/2011 -0.34 0.44 -0.78 19.93 5.89 14.04
09 09 0 0 0 0 10 10 1 1 1 1 1 Peggiore 3 -0.78 -0.34 0.44 07/21/2011 07/20/2011 0.09 0.56 -0.47 20.34 5.42 14.91
07/19/2011 -0.04 0.22 -0.26 20.23 4.84 15.39
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 and BLOOMBERG Data 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 09/30/2011 07:26:07 2
Analisi performance
Portafoglio: BETA 50-50 Benchmark: FIDMBILC Dt inizio: 10/28/2009 Dt fine: 09/27/2011 Valuta: EUR
Periodo: 1 G Dati stor: Rend tot TR Week: Port Default
Tracking Mean Return Sett: 52 Sett Annualized
2
25.00
20.00
1.
2 15.00
10.00
0. 5.00
4
BETA 50-50
0.00
-0 -5.00
.4
-10.00
11 12 1/ 2/ 2/ 3/ 4/ 5/ 6/ 7/ 7/ 8/ 9/ 10 11 11 12 1/ 2/ 3/ 4/ 4/ 5/ 6/ 7/ 8/ 8/
/1 /1 8/ 2/ 27 24 18 13 7/ 2/ 27 21 15 /1 /4 /2 /2 18 12 9/ 3/ 28 23 17 12 6/ 31
9/ 4/ 20 20 /2 /2 /2 /2 20 20 /2 /2 /2 0/ /2 9/ 4/ /2 /2 20 20 /2 /2 /2 /2 20 /2
20 20 10 10 01 01 01 01 10 10 01 01 01 20 01 20 20 01 01 11 11 01 01 01 01 11 01
09 09 0 0 0 0 0 0 0 10 0 10 10 1 1 1 1 1 1 1
-1
.2
BETA 50-50 FIDMBILC
Standard Deviation Sett: 52 Sett Annualized
-2
14.00
-3 -2 -1 0 1 2 3 4
12.00
FIDMBILC
10.00
Se la maggioranza dei ritorni supera la linea breakeven, il fondo ha battuto il benchmark.
8.00
1ma osservzne 10/29/2009 O 258 Periodi in rialzo --- Retta di regressione
O 241 Periodi in ribasso --- Retta di breakeven
6.00
Indicatori tracking
Total Bull Bear 4.00
Alpha 0.04 0.08 0.01
Beta 0.68 0.59 0.66
Correlation 0.71 0.55 0.55 2.00
Mean Excess Return 10.67 -8.50 41.40
Information Ratio 2.08 -1.94 7.37 0.00
Jensen Alpha 10.05 23.51 -3.88 11 12 1/ 2/ 2/ 3/ 4/ 5/ 6/ 7/ 7/ 8/ 9/ 10 11 11 12 1/ 2/ 3/ 4/ 4/ 5/ 6/ 7/ 8/ 8/
/1 /1 8/ 2/ 27 24 18 13 7/ 2/ 27 21 15 /1 /4 /2 /2 18 12 9/ 3/ 28 23 17 12 6/ 31
R-Squared 0.50 0.30 0.30 9/ 4/ 20 20 /2 /2 /2 /2 20 20 /2 /2 /2 0/ /2 9/ 4/ /2 /2 20 20 /2 /2 /2 /2 20 /2
20 20 10 10 01 01 01 01 10 10 01 01 01 20 01 20 20 01 01 11 11 01 01 01 01 11 01
Sortino Ratio Vs Index 1.44 -1.88 5.78 09 09 0 0 0 0 0 0 0 10 0 10 10 1 1 1 1 1 1 1
Tracking Error 5.13 4.38 5.62
BETA 50-50 FIDMBILC
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 and BLOOMBERG Data 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 09/30/2011 07:26:07 3
Analisi performance
Portafoglio: BETA 50-50 Benchmark: FIDMBILC Dt inizio: 10/28/2009 Dt fine: 09/27/2011 Valuta: EUR
Periodo: 1 G Dati stor: Rend tot TR Week: Port Default
Seasonality
Anno Gen Feb Mar Apr Mag Giu Lug Ago Set Ott Nov Dic
2009 -- -- -- -- -- -- -- -- -- -- 1.25 3.76
2010 0.08 1.85 3.93 0.81 0.00 -0.40 -0.04 1.15 0.34 0.42 2.15 1.71
2011 -1.76 1.72 -0.72 0.20 2.11 -1.95 1.28 -1.49 -- -- -- --
Average -0.84 1.79 1.60 0.51 1.06 -1.18 0.62 -0.17 0.34 0.42 1.70 2.73
4.00
2.00
0.00
-2.00
Gen Feb Mar Apr Mag Giu Lug Ago Set Ott Nov Dic
2011 2010 2009
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 and BLOOMBERG Data 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 09/30/2011 07:26:07 4
