# Questions tagged [performance]

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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} = (... • 262 -4 votes 1 answer 140 views ### Sharpe Ratio of a Long-Short Portfolio I have a portfolio High and Low (according to the highest profit). From this I have formed my long short portfolio and calculated my Sharpe Ratio. How to interpret this correctly? Does a positive ... 0 votes 3 answers 623 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 ... • 115 1 vote 0 answers 27 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 ... • 61 1 vote 2 answers 173 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 1 vote 0 answers 62 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 ... 1 vote 0 answers 118 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 ... 2 votes 3 answers 873 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.)? 1 vote 0 answers 836 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 320 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".] ... 3 votes 1 answer 67 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 452 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 ... 0 votes 0 answers 23 views ### 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 ... 2 votes 1 answer 82 views ### 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, \... • 21 1 vote 1 answer 989 views ### 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 ... • 13 1 vote 0 answers 29 views ### How to calculate interaction effect for my Performance Attribution? I calculate the selection and allocation effect, i don't get my alpha yet, I think with the interaction effect I'd solve the problem. Can you help me with the selection effect method? • 21 2 votes 1 answer 47 views ### Composite portfolio performance I'm trying to calculate the combined performance of two portfolios, but keep getting a nonsensical result. I have a Fixed Income & Equity portfolio and the GIPS quarterly performance number from ... 1 vote 0 answers 200 views ### Problems with Performance Attribution Analysis I am using the typical Brinson Model formula, but it doesn´t work, I think that is explained because of the compound effect and rebalancing... when I look my portfolio's YTD return and multiply by the ... • 21 0 votes 0 answers 45 views ### How to compare performance of a German stock How would you compare the performance of a German stock listed in DAX? I heard many use Euro Stoxx 50. But wouldn’t be the obvious choice to use the DAX? Also, would you use DAX INDEX or DAX FUTURES? • 109 1 vote 0 answers 65 views ### Why can't I take the Value at Risk "VaR" as a a risk objective in PerformanceAnalytics? (it does work for "ES) I am currently playing around with PortfolioAnalytics package in R and some data and I am aiming to create different portfolios with different VaR. However, I am struggling first of all, add.objective(... • 11 1 vote 0 answers 26 views ### Indian Securities Sector and Industry performance history data [closed] I am looking for data of Indian Industries and Sector's performance historical data for each and every date for over the last 10 years period of time. If it is not available, Could I get every month-... • 111 2 votes 2 answers 367 views ### Multi Period Return Table For performance presentation a multi period (or multi horizon) table is needed. What I mean is a table showing the trailing month, quarter, YTD, and other sub periods up to since inception. So I ... 1 vote 0 answers 298 views ### Contribution to Return - from security to portfolio I have the Contribution to Return (CTR) of all securities in a portfolio for a number of days. I would like to compute the portfolio and securities total return over this period. The total return of ... • 319 1 vote 0 answers 20 views ### Research on the performance of listed subsidiaries Some countries (India, Pakistan, Nigeria, among others) seem to force multinational corporations that do business there to list the local operation on the national stock exchange and to let public ... • 211 0 votes 2 answers 639 views ### Ways to calculate daily returns A complete rookie here. I'm currently reading Ernie Chan's 'Algorithmic Trading' and trying to recreate his results with quantstrat in R. Everything seems to be fine except for portfolio return ... 3 votes 2 answers 3k views ### Ex-Ante Tracking Error : active strategies and the size of the covariance matrix The most common formula for the ex-ante tracking error is \sqrt{w^{T}Cw}, where w is a vector of excess weights relative to the benchmark and C a forecast of covariance matrix. The sums of both ... • 307 0 votes 1 answer 421 views ### Difference between Sharpe Ratio and Information Ratio when measuring Hedge Fund performance? Here is an unpublished excerpt from Professor X: "Since Sharpe ratio uses standard deviation as a measure of risk, it assumes normal distribution of the underlying returns and it would therefore not ... 2 votes 1 answer 243 views ### Out-of-sample performance I got a problem when calculating the out-of-sample performance of my model. I have the following settings: I have daily data. I use a rolling window of 1 week. I use the previous six months of data ... 2 votes 2 answers 536 views ### Sharpe ratio: discrete or continuous returns? The Sharpe ratio is known as$$SR=\frac{\mu-r_f}{\sigma} Are these values calculated from discrete or continuously compounded returns?
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i am building a platform for portfolio analytics, part of which is a performance attribution module. Given that most individual portfolio's can never have the same number of stocks as say, a mutual ...
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### How to calculate Sharpe Ratio if there are gaps in returns?

I see a lot of examples, like "We hold long position during whole year, then we calculate daily sharpe ratio and multiply it by SQRT(252) to get the annual one". This example makes sense for me. ...
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### Forex P&l Attribution on Physical Forward position

Please validate my unrealized Fx P&L calculation on the commodity forward contract e.g. consider i have bought 1 MT of wheat at 300 EURO my financial currency for company is USD. I am using below ...
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### How to compute daily compounded backtest returns closer to real-world results?

I often run quick tests of trading strategies in my analytics suites by: multiplying a vector of signal (lagged, {-1,0,1}) with a time series of daily percentage returns doing a cumulative product of ...
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### Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades

We have built an algorithmic trading software and need to calculate the following parameters for each position in our portfolio. Average Price Cost Realized Profit & Loss Unrealized Profit & ...
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### Industry convention to track trading performance against market indices?

I come from a programming background and not am no quant by career so this is probably a newbie question for you guys. I have written some code to pull daily closing values for market indices (DOW/...
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### desk's performance

I need your point of view in evaluating the monthly performance of a desk. I have the daily credit risk capital requirement (A); the net banking income or GNP (B). What is the best measure of the ...
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### How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

I am looking to convince someone that an annualized Sharpe Ratio of 7 is 'extremely high' for a low frequency (daily rebalancing, say) long-short technical strategy on U.S. equities. I was hoping for ...
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### How to annualize dividends paid at varying intervals?

I am attempting to write a function that will calculate the annualized rate of return for individual dividends made by illiquid investments. These dividends are paid at varying intervals and the ...
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### How to compute performance attribution between daily rebalanced strategies?

I have a daily rebalanced portfolio of several strategies. After one month, I now want to attribute the performance to the different strategies. There are several ways to do it. For instance one ...
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### How to combine multiple trading algorithms?

Is it possible to combine different algorithms so as to improve trading performance? In particular, I have read that social media sentiment tracking, digital signal processing and neural networks all ...
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