Questions tagged [performance]

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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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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 ...
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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?
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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 ...
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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(...
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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 ...
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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 ...
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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|...
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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 ...
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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 ...
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111 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 ...
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18 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 ...
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43 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?