投資組合績效歸因指標
[英]Portfolio Performance Attribution Metrics
問題描述
我想將特定的績效指標納入我的投資組合管理軟件。 這個指標應該是我可以衡量的指標
“所選資產組合構成已從所選資產中獲取了多少潛在收益”。
考慮下表報告了2017/10到2018/03日期之間的關鍵指標的投資組合的績效
netpeq ：在此期間獲得的凈美元利潤
aroc ：該期間資產價格的年度變化率
cagr ：此期間投資組合的復合年均增長率
我需要一個度量來懲罰cagr（或netpeq）和aroc之間的差異。 也就是說，積極的aroc表示這些資產可能已經產生了增長（如BA，MSFT，CSCO），但是投資組合經理卻無法從中獲利甚至虧損。
我想衡量投資組合經理錯過的程度
一種。 投資組合中每種資產帶來的增長潛力
b。 整個投資組合的整體增長潛力。
+---------+----------+----------+---------+-------+--------+--------+--------+ | 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 | +---------+----------+----------+---------+-------+--------+--------+--------+
1 個解決方案
解決方案1
0 已采納 2018-03-26 20:54:32
對投資組合中的市場工具發揮其潛力的合理集中衡量方法是該時期內的內部收益率與其同期的年化市場收益之間的幾何差異。 為此，您需要流入和流出該工具的現金流量金額和日期，其實際開市和收市價以及該組件的總市場收益。 如果該工具或其內部收益率隱含值在此期間的任何時候都太短，那么您將需要使用內部收益率的高級版本來代替Excel中提供的標准計算。
通常更重要的是廣泛地衡量投資組合管理可控相對成功的程度。 最好通過使用每日數據的結構良好的基於價值的決策歸因分析來捕獲它。
安德烈·米拉貝利（Andre Mirabelli）
python 中的智能 for 循環，用於組合性能
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