投资组合绩效归因指标
Portfolio Performance Attribution Metrics
我想将特定的性能指标合并到我的投资组合管理软件中。这个指标应该是我可以衡量的
"how much of the potential gains from the selected assets have been captured by the selected portfolio composition"。
考虑以下 table 报告投资组合在 2017/10 和 2018/03 期间关键指标的表现
netpeq: 在此期间获得的净利润 $
aroc: 一段时间内资产价格的年化变化率
复合年增长率：投资组合在此期间的复合年化增长率
我需要一个指标来惩罚 cagr（或 netpeq）和 aroc 之间的分歧。也就是说，积极的 aroc 表示这些资产本可以产生增长（如 BA、MSFT、CSCO），但投资组合经理未能从这些资产中获利，甚至亏损。
我想衡量投资组合经理错过捕捉的程度
一种。投资组合中每项资产的增长潜力
b.整体增长潜力 w.r.t 投资组合。
+---------+----------+----------+---------+-------+--------+--------+--------+
| name | netpeq | draw | aroa | cagr | sharpe | rvalue | aroc |
+---------+----------+----------+---------+-------+--------+--------+--------+
| BA | -555.71 | 3439.15 | -36.54 | -1.25 | -0.17 | 0.42 | 64.58 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| DWDP | 0 | 0 | 0 | 0 | 0 | 0 | -13.18 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| CAT | -447.66 | 1361.54 | -74.36 | -1.01 | -0.66 | -0.17 | 39.91 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| WMT | 363.25 | 448.09 | 183.34 | 0.82 | 1.1 | 0.66 | 4.73 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| UTX | 0 | 0 | 0 | 0 | 0 | 0 | 18.96 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| NKE | 690.34 | 498.24 | 313.36 | 1.57 | 1.21 | 0.84 | 67.19 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| VZ | -76 | 76 | -226.16 | -0.17 | -2.18 | -0.63 | 4.73 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| XOM | -272.87 | 555.36 | -111.12 | -0.62 | -0.65 | -0.46 | -18.69 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| GE | 0 | 0 | 0 | 0 | 0 | 0 | -85.61 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| MCD | 1025.63 | 731.44 | 317.12 | 2.33 | 1.09 | 0.64 | -6.02 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| CSCO | -313.88 | 313.88 | -226.16 | -0.71 | -1.81 | -0.39 | 75.23 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| JPM | 961.69 | 267.33 | 813.59 | 2.19 | 1.72 | 0.86 | 45.46 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| V | 3261.55 | 1969.88 | 374.46 | 7.53 | 1.76 | 0.9 | 31.18 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| GS | 0 | 0 | 0 | 0 | 0 | 0 | 24.24 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| HD | -32.32 | 960.59 | -7.61 | -0.07 | -0.06 | 0.09 | 20 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| PFE | 0 | 0 | 0 | 0 | 0 | 0 | 4.12 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| KO | 0 | 0 | 0 | 0 | 0 | 0 | -10.66 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| MMM | 0 | 0 | 0 | 0 | 0 | 0 | 17.01 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| DIS | 0 | 0 | 0 | 0 | 0 | 0 | 11.43 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| CVX | 357.2 | 1415.09 | 57.09 | 0.81 | 0.37 | 0.33 | -5.8 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| INTC | 1632.52 | 599.42 | 615.95 | 3.73 | 1.4 | 0.63 | 67.32 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| PG | -197.12 | 314.7 | -141.66 | -0.45 | -1.25 | -0.72 | -32.05 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| TRV | -348.86 | 348.86 | -226.16 | -0.79 | -1.55 | -0.79 | 26.49 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| MSFT | -205.86 | 680.29 | -68.44 | -0.46 | -0.42 | 0.25 | 47.6 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| AAPL | 0 | 0 | 0 | 0 | 0 | 0 | 28.32 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| JNJ | 17.55 | 64.8 | 61.25 | 0.04 | 0.33 | 0.43 | -7.55 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| AXP | -1366.89 | 1492.43 | -207.14 | -3.06 | -1.69 | -0.77 | 5.65 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| IBM | 0 | 0 | 0 | 0 | 0 | 0 | 20.59 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| UNH | 877.04 | 676.82 | 293.06 | 1.99 | 1.13 | 0.79 | 39.98 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| MRK | 0 | 0 | 0 | 0 | 0 | 0 | -27.88 |
+---------+----------+----------+---------+-------+--------+--------+--------+
| RunPort | 5369.6 | 10091.44 | 120.34 | 12.56 | 0.65 | 0.73 | -1 |
+---------+----------+----------+---------+-------+--------+--------+--------+
衡量投资组合中的市场工具在多大程度上发挥其潜力的一个合理的密集衡量标准是该时期的 IRR 与其同期的年化市场 return 之间的几何差异。
为此，您需要现金流量和进出工具的日期、实际开盘和收盘市场价值以及组件的总市场 return。
如果该工具或其 IRR-implied 值在该期间的任何时间都很短，那么您将需要使用高级版本的 IRR 而不是 Excel.
中提供的标准计算
通常更相关的是对投资组合管理取得的可控相对成功的广泛衡量。最好通过使用每日数据的 well-formulated value-based 决策归因分析来捕获。
安德烈·米拉贝利
我想将特定的性能指标合并到我的投资组合管理软件中。这个指标应该是我可以衡量的
"how much of the potential gains from the selected assets have been captured by the selected portfolio composition"。
考虑以下 table 报告投资组合在 2017/10 和 2018/03 期间关键指标的表现
netpeq: 在此期间获得的净利润 $
aroc: 一段时间内资产价格的年化变化率
复合年增长率：投资组合在此期间的复合年化增长率
我需要一个指标来惩罚 cagr（或 netpeq）和 aroc 之间的分歧。也就是说，积极的 aroc 表示这些资产本可以产生增长（如 BA、MSFT、CSCO），但投资组合经理未能从这些资产中获利，甚至亏损。
我想衡量投资组合经理错过捕捉的程度
一种。投资组合中每项资产的增长潜力
b.整体增长潜力 w.r.t 投资组合。
+---------+----------+----------+---------+-------+--------+--------+--------+ | name | netpeq | draw | aroa | cagr | sharpe | rvalue | aroc | +---------+----------+----------+---------+-------+--------+--------+--------+ | BA | -555.71 | 3439.15 | -36.54 | -1.25 | -0.17 | 0.42 | 64.58 | +---------+----------+----------+---------+-------+--------+--------+--------+ | DWDP | 0 | 0 | 0 | 0 | 0 | 0 | -13.18 | +---------+----------+----------+---------+-------+--------+--------+--------+ | CAT | -447.66 | 1361.54 | -74.36 | -1.01 | -0.66 | -0.17 | 39.91 | +---------+----------+----------+---------+-------+--------+--------+--------+ | WMT | 363.25 | 448.09 | 183.34 | 0.82 | 1.1 | 0.66 | 4.73 | +---------+----------+----------+---------+-------+--------+--------+--------+ | UTX | 0 | 0 | 0 | 0 | 0 | 0 | 18.96 | +---------+----------+----------+---------+-------+--------+--------+--------+ | NKE | 690.34 | 498.24 | 313.36 | 1.57 | 1.21 | 0.84 | 67.19 | +---------+----------+----------+---------+-------+--------+--------+--------+ | VZ | -76 | 76 | -226.16 | -0.17 | -2.18 | -0.63 | 4.73 | +---------+----------+----------+---------+-------+--------+--------+--------+ | XOM | -272.87 | 555.36 | -111.12 | -0.62 | -0.65 | -0.46 | -18.69 | +---------+----------+----------+---------+-------+--------+--------+--------+ | GE | 0 | 0 | 0 | 0 | 0 | 0 | -85.61 | +---------+----------+----------+---------+-------+--------+--------+--------+ | MCD | 1025.63 | 731.44 | 317.12 | 2.33 | 1.09 | 0.64 | -6.02 | +---------+----------+----------+---------+-------+--------+--------+--------+ | CSCO | -313.88 | 313.88 | -226.16 | -0.71 | -1.81 | -0.39 | 75.23 | +---------+----------+----------+---------+-------+--------+--------+--------+ | JPM | 961.69 | 267.33 | 813.59 | 2.19 | 1.72 | 0.86 | 45.46 | +---------+----------+----------+---------+-------+--------+--------+--------+ | V | 3261.55 | 1969.88 | 374.46 | 7.53 | 1.76 | 0.9 | 31.18 | +---------+----------+----------+---------+-------+--------+--------+--------+ | GS | 0 | 0 | 0 | 0 | 0 | 0 | 24.24 | +---------+----------+----------+---------+-------+--------+--------+--------+ | HD | -32.32 | 960.59 | -7.61 | -0.07 | -0.06 | 0.09 | 20 | +---------+----------+----------+---------+-------+--------+--------+--------+ | PFE | 0 | 0 | 0 | 0 | 0 | 0 | 4.12 | +---------+----------+----------+---------+-------+--------+--------+--------+ | KO | 0 | 0 | 0 | 0 | 0 | 0 | -10.66 | +---------+----------+----------+---------+-------+--------+--------+--------+ | MMM | 0 | 0 | 0 | 0 | 0 | 0 | 17.01 | +---------+----------+----------+---------+-------+--------+--------+--------+ | DIS | 0 | 0 | 0 | 0 | 0 | 0 | 11.43 | +---------+----------+----------+---------+-------+--------+--------+--------+ | CVX | 357.2 | 1415.09 | 57.09 | 0.81 | 0.37 | 0.33 | -5.8 | +---------+----------+----------+---------+-------+--------+--------+--------+ | INTC | 1632.52 | 599.42 | 615.95 | 3.73 | 1.4 | 0.63 | 67.32 | +---------+----------+----------+---------+-------+--------+--------+--------+ | PG | -197.12 | 314.7 | -141.66 | -0.45 | -1.25 | -0.72 | -32.05 | +---------+----------+----------+---------+-------+--------+--------+--------+ | TRV | -348.86 | 348.86 | -226.16 | -0.79 | -1.55 | -0.79 | 26.49 | +---------+----------+----------+---------+-------+--------+--------+--------+ | MSFT | -205.86 | 680.29 | -68.44 | -0.46 | -0.42 | 0.25 | 47.6 | +---------+----------+----------+---------+-------+--------+--------+--------+ | AAPL | 0 | 0 | 0 | 0 | 0 | 0 | 28.32 | +---------+----------+----------+---------+-------+--------+--------+--------+ | JNJ | 17.55 | 64.8 | 61.25 | 0.04 | 0.33 | 0.43 | -7.55 | +---------+----------+----------+---------+-------+--------+--------+--------+ | AXP | -1366.89 | 1492.43 | -207.14 | -3.06 | -1.69 | -0.77 | 5.65 | +---------+----------+----------+---------+-------+--------+--------+--------+ | IBM | 0 | 0 | 0 | 0 | 0 | 0 | 20.59 | +---------+----------+----------+---------+-------+--------+--------+--------+ | UNH | 877.04 | 676.82 | 293.06 | 1.99 | 1.13 | 0.79 | 39.98 | +---------+----------+----------+---------+-------+--------+--------+--------+ | MRK | 0 | 0 | 0 | 0 | 0 | 0 | -27.88 | +---------+----------+----------+---------+-------+--------+--------+--------+ | RunPort | 5369.6 | 10091.44 | 120.34 | 12.56 | 0.65 | 0.73 | -1 | +---------+----------+----------+---------+-------+--------+--------+--------+
衡量投资组合中的市场工具在多大程度上发挥其潜力的一个合理的密集衡量标准是该时期的 IRR 与其同期的年化市场 return 之间的几何差异。
为此，您需要现金流量和进出工具的日期、实际开盘和收盘市场价值以及组件的总市场 return。
如果该工具或其 IRR-implied 值在该期间的任何时间都很短，那么您将需要使用高级版本的 IRR 而不是 Excel.
中提供的标准计算
通常更相关的是对投资组合管理取得的可控相对成功的广泛衡量。最好通过使用每日数据的 well-formulated value-based 决策归因分析来捕获。
安德烈·米拉贝利