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性能指标。这个指标应该是我可以测量的

“所选资产的潜在收益中有多少是由选定的投资组合构成的”。在

考虑下表报告了投资组合在2017/10和2018/03年之间的主要指标表现

netpeq：本期净利润
aroc：期间内资产价格的年化变化率
复合年增长率：投资组合在此期间的复合年增长率

我需要一个量度来惩罚复合年增长率（或netpeq）和aroc之间的差异。也就是说，积极的aroc说这些资产本可以带来增长（如英国航空、微软、中信建投），但投资组合经理未能从中获利，甚至亏损。在

我想衡量一下投资组合经理漏掉的程度
a、 投资组合中每项资产的增长潜力
b、 整体而言，w.r.t投资组合的整体增长潜力。在

+---------+----------+----------+---------+-------+--------+--------+--------+
| 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     |
+---------+----------+----------+---------+-------+--------+--------+--------+

Answer 1

一个投资组合中的市场工具捕捉到其潜力的合理密集量度将是其同期内部收益率与同期年化市场回报率之间的几何差异。 为此，您需要现金流金额和进出工具的日期、其实际开盘和收盘市价以及组件的总市场回报率。 如果工具或其内部收益率隐含值在期间内的任何时候都很短，那么您需要使用内部收益率的高级版本，而不是Excel中提供的标准计算。
通常更相关的是对投资组合管理的可控相对成功程度的广泛衡量。最好通过使用日常数据的基于价值的决策属性分析来获取。
安德烈·米拉贝利