# Questions tagged [performance]

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129 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".] ...
54 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 ...
24 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?
109 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 ...
38 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(...
193 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 ...
11 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 ...
44 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|...
72 views

### understanding the linear constraint on a regression performance report

I am trying to understand a regression performance attribution. The problem the code solves is shown below. min 0.5 * x'Hx + f'x st. Ax <= b So I have n ...
17 views

### Cost basis for Month-to-date unrealized and realized p&l calculation

how do you calculate Month-to-date unrealized and realized P&L/performance? What is the cost basis for both? Should the cost be reset based on the end-of-previous month mark to market or the ...
111 views

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 ...