Portfolio Maestro

Portfolio Maestro
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Reporting Analytics

Portfolio reporting for quantitative strategies has been our focus for more than a dozen years. Our reports have become the standard for trading system backtesting, and have even been incorporated into other popular backtesting programs. Portfolio Maestro's reports have been designed to facilitate analyzing your trading strategies with the same level of detail and rigor that a potential investor would evaluate a hedge fund. In addition, Portfolio Maestro's reports are designed to be able to easily produce "pro-forma" hypothetical results once your strategy is ready for roll-out.

Performance reporting includes:

  • Trade based statistics
  • Detailed trade lists including descriptions of trades within the portfolio including the strategy that generated the trade as well as the money management used to determine positions size
  • Return based statistics, such as Sharpe ratio, K-ratio, RRR-ratio, peak to trough drawdown, CAGR and CMGR, and distribution of returns
  • Equity curve by day for a portfolio and each symbol
  • Returns for daily, weekly, monthly and yearly periods
  • Interactive performance graphs with logical categories of analysis
  • Easily exportable chart data for use in other programs or reports