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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 .
The iBoxx bond market indices are transparent, rules-based fixed income indices that are primarily used by passive and active professional investors as well as investment banks. iBoxx offers broad benchmarks used to evaluate investment performance and to conduct research, as well as liquid indices used as an underlying for tradable products ...
FAME Desktop Add-in for Excel: FAME Desktop is an Excel add-in that supports the =FMD(expression, sd, ed,0, freq, orientation) and =FMS(expression, freq + date) formulas, just as the 4GL command prompt does. These formulas can be placed in Excel spreadsheets and are linked to FAME objects and analytics stored on a FAME server. Sample Excel ...
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).
The single-index model (SIM) is a simple asset pricing model to measure both the risk and the return of a stock. The model has been developed by William Sharpe in 1963 and is commonly used in the finance industry.