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To perform attribution on a portfolio, one must also run attribution on its associated benchmark, and this frequently presents substantial difficulties. To provide attribution information at the same level of detail for a benchmark, one needs extensive, detailed weights and returns, and these are often hard to find.
Performance attribution, or investment performance attribution is a set of techniques that performance analysts use to explain why a portfolio's performance differed from the benchmark. This difference between the portfolio return and the benchmark return is known as the active return .
In investment banking, PnL explained (also called P&L explain, P&L attribution or profit and loss explained) is an income statement with commentary that attributes or explains the daily fluctuation in the value of a portfolio of trades to the root causes of the changes.
Attribution (psychology), concept in psychology whereby people attribute traits and causes to things they observe; Extreme event attribution, estimation of how climate change affects recent extreme weather events; Performance attribution, technique in quantitative finance for explaining the active performance of a portfolio
Example investment portfolio with a diverse asset allocation. Asset allocation is the implementation of an investment strategy that attempts to balance risk versus reward by adjusting the percentage of each asset in an investment portfolio according to the investor's risk tolerance, goals and investment time frame. [1]
In portfolio management, the Carhart four-factor model is an extra factor addition in the Fama–French three-factor model, proposed by Mark Carhart.The Fama-French model, developed in the 1990, argued most stock market returns are explained by three factors: risk, price (value stocks tending to outperform) and company size (smaller company stocks tending to outperform).
Factor investing is an investment approach that involves targeting quantifiable firm characteristics or "factors" that can explain differences in stock returns. Security characteristics that may be included in a factor-based approach include size, low-volatility, value, momentum, asset growth, profitability, leverage, term and carry.
In a discrete (i.e. finite state) market, the following hold: [2] The First Fundamental Theorem of Asset Pricing: A discrete market on a discrete probability space (,,) is arbitrage-free if, and only if, there exists at least one risk neutral probability measure that is equivalent to the original probability measure, P.