Thanks for your help!
 
R project will enable me to have CVaR, Modified Sharpe Ratio, etc. But, I guess that I cannot use R project to produce "automatically" Risk management report and performance attribution for the funds. Is it true? I will be happy to know what software is appropriated for this task?
 
PS: I need to produce 500 risk management reports per month!!!
 
Thanks!
 
Fabrice
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