Comparing a money-weighted return of my own portfolio with a benchmark ETF/other portfolio that is subject to the same cashflows
I am able to calculate the money-weighted return (XIRR equivalent in Excel) of my portfolio. Whilst I can compare this with ‘headline’ returns of ETF’s, Mutual Funds etc, I want to isolate the timing ...
Given the portfolio return $R$ and the benchmark return $B$, I want to define a risk indicator, measuring the ability to beat the benchmark ($R>B$), given the downside risk taken; the latter not ...
I am designing a backtesting system to test an algorithm. I'd like to have a benchmark / control test results to compare to the results of a custom algorithm. A limited "set" of stocks is selected ...
Hi i have built a custom portfolio of equities with weights but would like to plot the daily, monthly and annual correlation to 60/40 benchmark. Please see code below and suggest how I can do the ...
How does one create a benchmark for a portfolio? I realize if I were using strategic asset allocation, I could just look at the already existing benchmarks associated with the various asset classes ...