Questions tagged [performance]
The performance tag has no summary.
49 questions
0 votes
0 answers
40 views
Category 1 priips (less than monthly pricing)
has anyone came across a priip of category 1 with less than monthly frequency? To model such products the regulation only says we should use a conservative estimate
- 1
0 votes
1 answer
86 views
How to calculate annual portfolio return using daily trade PnL and only total exposure taken. No asset values available
Total beginning/ending assets are not given, just the PnL and each days exposure. Important to note that sometimes the next day's exposure is equal to prior day exposure + prior day PnL but not always....
0 votes
1 answer
154 views
How would one define MSCI World Index + 3% or S&P 500 + 3%?
Sometimes private equity-benchmarks contain an illiquidity premium. This is then reflected in something like "MSCI World Index + 3%". Is there a conventional way of calculating this number ...
- 194
1 vote
0 answers
130 views
Calculating factor attribution to performance from factor exposures?
The process I have followed so far is that I have filtered out the relevant style factors (momentum, growth, value, etc.) for a portfolio using Lasso regression and then done an OLS to calculate the ...
- 11
1 vote
0 answers
89 views
Forward returns measurment?
Is there a common approach to measure how a forward contract is performing? Here's what I'm thinking, each day you would price your forward with the next formula. $$ F_t = S_0 e^{-r_f T}-Ke^{-r T} = (...
- 312
1 vote
4 answers
3k views
Multi-Period Contribution
I've read multiple research papers but can't find a good answer as to why multi-period contributions don't add up to the returns of a portfolio. I understand that arithmetic sums miss the compounding ...
- 125
1 vote
0 answers
47 views
Statistical testing of out-of-time portfolio performance (measured via a custom metric)
I'm testing (out-of-time) my machine learning (ML) based strategy against a strong benchmark. As a performance metric, I'm using a custom rolling metric $M(t)$ which takes into account the portfolio ...
- 169
1 vote
2 answers
340 views
best way to calculate the return
Suppose that you want to calculate the single period return. Let p0 be the initial price and p1 be the final price over the ...
- 113
5 votes
2 answers
1k views
Brinson attribution for arbitrary set of style factors (size, momentum, vol, etc)
I'm looking to do a Brinson performance attribution on a portfolio of stocks where instead of decomposing the returns in terms of sectors we use factors instead. Basically, I want to do what Style ...
- 103
1 vote
0 answers
381 views
Fast Monte Carlo of Local Volatility Model
I want to compute option prices via a Monte Carlo simulation. The model implemented is a Markov process, following the SDE : d X_t = alpha * dt + beta^(1/2) * d W_t ...
- 11
2 votes
3 answers
3k views
Cross Currency Swap Attribution
Can you please recommend a paper/book that discusses the attribution of the mark to market of a cross currency swap (rates, basis, fx, etc.)?
- 21
1 vote
0 answers
3k views
Portfolio Performance Attribution Using Carino Smoothing
I'm trying to conduct portfolio performance attribution using Carino smoothing, but it seems that the active returns do not match and I don't know why. Here is the example I use: \begin{array} {|r|r|r|...
- 11
3 votes
2 answers
735 views
Can alpha be positive if cumulative returns underperform the benchmark?
According to my portfolio analysis program (pyfolio), the alpha of the following strategy is .17 (I am assuming 17%). [Based on pyfolio documentation, alpha here is the "annualized alpha".] ...
- 55
3 votes
1 answer
195 views
Regression based performance attribution with dummy variables
I am following some work to do with a regression based performance attribution. The regression is a cross sectional one. The $y$ vector is the risk free return for say 1,000 companies. The $X$ matrix ...
- 259
0 votes
0 answers
1k views
Modern Linking Algorithm for Multi Period Performance Attribution
I'm looking for a modern description of the linking algorithms used in industry arithmetic performance attribution across multiple periods. Since the sum of the active return components in arithmetic ...
