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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 .
Modigliani risk-adjusted performance (also known as M 2, M2, Modigliani–Modigliani measure or RAP) is a measure of the risk-adjusted returns of some investment portfolio. It measures the returns of the portfolio, adjusted for the risk of the portfolio relative to that of some benchmark (e.g., the market).
In finance, Jensen's alpha [1] (or Jensen's Performance Index, ex-post alpha) is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return. It is a version of the standard alpha based on a theoretical performance instead of a market index .
The standard form of the Omega ratio is a non-convex function, but it is possible to optimize a transformed version using linear programming. [4] To begin with, Kapsos et al. show that the Omega ratio of a portfolio is: = [() +] + The optimization problem that maximizes the Omega ratio is given by: [() +], (), =, The objective function is non-convex, so several ...
Changes in term structure form one of the most important sources of risk in a portfolio. Unlike an equity price, which just moves one-dimensionally, the price of a fixed-income security is calculated from sum of discounted cash flows , where the discount rate used depends on the interest rate at that maturity.
It is internal to the portfolio, but external to both the stock and the cash account when they are considered individually, in isolation from one another. The time-weighted method only captures the effect attributable to the size and timing of internal flows in aggregate (i.e., insofar as they result in the overall performance of the portfolio).
The investment performance is measured over a specific period of time and in a specific currency. Investors often distinguish different types of return. One is the distinction between the total return and the price return , where the former takes into account income ( interest and dividends ), whereas the latter only takes into account capital ...
Performance measurement is the process of collecting, analyzing and/or reporting information regarding the performance of an individual, group, organization, system or component. [dubious – discuss] [1] Definitions of performance measurement tend to be predicated upon an assumption about why the performance is being measured. [2]