投资组合绩效归因指标

Question

我想在我的投资组合管理软件中加入一个特定的绩效指标。这个指标应该是我可以衡量的指标

“选定资产的潜在收益有多少已被选定的投资组合组合捕获”。

请考虑下表报告投资组合在 2017 年 10 月至 2018 年 3 月之间的关键指标的表现

netpeq：该期间获得的净利润
aroc：该期间资产价格的年化变化率
cagr：投资组合在此期间的复合年化增长

我需要一个衡量 cagr（或 netpeq）和 aroc 之间差异的指标。即，积极的aroc 表示这些资产可能会产生增长（如在 BA、MSFT、CSCO 中），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
湾。整个投资组合的整体增长潜力。

+---------+---------+----------+---------+------- +--------+--------+--------+ |姓名 | netpeq |画 |阿罗亚 |年复合增长率 |锐化 |右值 |阿洛克 | +---------+---------+----------+---------+------- +--------+--------+--------+ |文学士 | -555.71 | 3439.15 | -36.54 | -1.25 | -0.17 | 0.42 | 64.58 | +---------+---------+----------+---------+------- +--------+--------+--------+ | DWDP | 0 | 0 | 0 | 0 | 0 | 0 | -13.18 | +---------+---------+----------+---------+------- +--------+--------+--------+ |猫 | -447.66 | 1361.54 | -74.36 | -1.01 | -0.66 | -0.17 | 39.91 | +---------+---------+----------+---------+------- +--------+--------+--------+ |仓库管理 | 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 | +---------+---------+----------+---------+------- +--------+--------+--------+ |通用电气 | 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 | +---------+---------+----------+---------+------- +--------+--------+--------+ |摩根大通 | 961.69 | 267.33 | 813.59 | 2.19 | 1.72 | 0.86 | 45.46 | +---------+---------+----------+---------+------- +--------+--------+--------+ |五 | 3261.55 | 1969.88 | 374.46 | 7.53 | 1.76 | 0.9 | 31.18 | +---------+---------+----------+---------+------- +--------+--------+--------+ | GS | 0 | 0 | 0 | 0 | 0 | 0 | 24.24 | +---------+---------+----------+---------+------- +--------+--------+--------+ |高清 | -32.32 | 960.59 | -7.61 | -0.07 | -0.06 | 0.09 | 20 | +---------+---------+----------+---------+------- +--------+--------+--------+ |聚四氟乙烯 | 0 | 0 | 0 | 0 | 0 | 0 | 4.12 | +---------+---------+----------+---------+------- +--------+--------+--------+ |柯 | 0 | 0 | 0 | 0 | 0 | 0 | -10.66 | +---------+---------+----------+---------+------- +--------+--------+--------+ |嗯| 0 | 0 | 0 | 0 | 0 | 0 | 17.01 | +---------+---------+----------+---------+------- +--------+--------+--------+ |信息系统 | 0 | 0 | 0 | 0 | 0 | 0 | 11.43 | +---------+---------+----------+---------+------- +--------+--------+--------+ | CVX | 357.2 | 1415.09 | 57.09 | 0.81 | 0.37 | 0.33 | -5.8 | +---------+---------+----------+---------+------- +--------+--------+--------+ |国际贸易中心 | 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 | +---------+---------+----------+---------+------- +--------+--------+--------+ |微软 | -205.86 | 680.29 | -68.44 | -0.46 | -0.42 | 0.25 | 47.6 | +---------+---------+----------+---------+------- +--------+--------+--------+ |苹果 | 0 | 0 | 0 | 0 | 0 | 0 | 28.32 | +---------+---------+----------+---------+------- +--------+--------+--------+ |江西 | 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 | +---------+---------+----------+---------+------- +--------+--------+--------+ |联合国大学 | 877.04 | 676.82 | 293.06 | 1.99 | 1.13 | 0.79 | 39.98 | +---------+---------+----------+---------+------- +--------+--------+--------+ | MRK | 0 | 0 | 0 | 0 | 0 | 0 | -27.88 | +---------+---------+----------+---------+------- +--------+--------+--------+ |运行端口 | 5369.6 | 10091.44 | 120.34 | 12.56 | 0.65 | 0.73 | -1 | +---------+---------+----------+---------+------- +--------+--------+--------+

Answer 1

一种合理的强化衡量投资组合中的市场文书捕获其潜力的潜力将是其IRR之间的几何差异，同期的年度市场返回。 为此，您需要现金流量和日期进出仪器，其实际开放和关闭市场价值以及组件的总市场返回。 如果仪器或其Irr隐含的值在此期间的任何时间都短短，那么您需要使用IRR的高级版本而不是Excel中提供的标准计算。
什么通常更相关的是达到的广泛衡量投资组合管理的可控相对成功。最好是通过使用日常数据的基于良好的基于​​价值的决策归因分析来捕获。

andre mirabelli