Questions tagged [performance]
The performance tag has no usage guidance.
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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 ...
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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} = (...
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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 ...
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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 ...
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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 ...
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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 ...
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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
...
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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.)?
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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|...
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553
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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".]
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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 ...
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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 ...
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Error distribution algorithms in performance attribution
Are there any known & generally accepted methods of scaling each return in a period such that the total cumulative return equals a more desired amount? For example, 0.5 and 0.3 have a total ...
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1
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How to calculate performance of a private equity investment?
Say an investment fund puts \$1 million into private equity investment in 3 installments (\$500k, \$250k, \$250k).
You're given a data table which shows the date, contributions (\$500k, \$250k, \$...
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How to calculate standard deviation cone around expected returns?
I would like to evaluate the returns of an investment manager who has given me their return and volatility expectations for their fund. I would like to calculate both 1 and 2 standard deviations from ...
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