Ads
related to: investment performance benchmark index formula excel
Search results
Results From The WOW.Com Content Network
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 .
To begin, define to be: = () where is the vector of active weights for each asset relative to the benchmark index and is the covariance matrix for the assets in the index. While creating an index fund could involve holding all N {\displaystyle N} investable assets in the index, it is sometimes better practice to only invest in a subset K ...
Relative return is a measure of the return or profit of an investment portfolio relative to a theoretical passive reference portfolio or benchmark. [ 1 ] In active portfolio management , the aim is to maximize the relative return (often subject to a risk constraint).
The ex-post Sharpe ratio uses the same equation as the one above but with realized returns of the asset and benchmark rather than expected returns; see the second example below. The information ratio is a generalization of the Sharpe ratio that uses as benchmark some other, typically risky index rather than using risk-free returns.
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 .
Negative cashflows are treated as contributions. On the first period, a $100 call in the fund is matched by a $100 investment into the index. On the second period, the $100 index investment is now worth $105, to which is added $50 of new investment. A positive cashflow is treated by decreasing the index investment by the same value.
Many investment-grade securities are traded at a spread to the Treasury curve, with the size of this spread depending on current economic conditions and the credit rating of the individual security. For instance, in April 2005 General Motors debt was downgraded to non-investment, or junk, status by the ratings agencies. As a result, the credit ...