Development of a Performance Analysis App from Design to Deployment

The Amundi Convexity Solutions team is a leader in derivative management specializing in offering personalized option-based protective overlays to investors. These unique strategies focused on risk management and downside protection challenge the conventional performance metrics typically used to assess investments, such as return on investment or Sharpe ratio.

To address this challenge, the team has developed a robust performance analysis framework. This framework accounts for various dimensions, including downside risk protection, drawdown management, and stress-testing scenarios. By evaluating protective overlays under diverse market conditions, the team gains valuable insights into the effectiveness of these strategies.

A key aspect of these protective overlays is their high level of customization, which is tailored to each investor's specific needs. As a result, each analysis requires the generation of dedicated reports. These reports provide comprehensive insights into the efficiency of the protective overlays by considering the cost-benefit ratio and aligning with broader investment objectives.

To facilitate this process, the team has integrated the project into an application using MATLAB^® App Designer. This tool offers a complete environment, encompassing application development and deployment. By utilizing this application, the team can efficiently generate, customize, and present performance analysis reports, enabling clear communication with both internal and external clients.