Saturday, July 21, 2018

portfolio management - How to compute performance attribution between daily rebalanced strategies?


I have a daily rebalanced portfolio of several strategies. After one month, I now want to attribute the performance to the different strategies. There are several ways to do it.


For instance one could compute what each strategy has actually contributed. But it is not always fair as it is dependent on the path of other strategies.


Or one could compute the theoretical performance of each strategy as if it was standalone and then rebase it so that the sum of the contribution is equal to the actual realised performance.


Any other idea, or any preference between the two?




No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...