ANALYZING A PERFORMANCE OF AT LEAST ONE ASSET IN A PORTFOLIO

摘要

Analyzing a performance of an asset in a portfolio includes retrieving, from a number of financial sources, information for a list of trades, the list of trades representing assets associated with a portfolio that have been traded during a time interval, determining, based on the information, a number of returns associated with the list of trades over the time interval, creating, for each trade of the assets in the list of trades, a remainder fraction, the remainder fraction being equal to an initial fraction for that trade, determining, for each sale of the assets in the list of trades, a rebalancing trading profit contribution to a portfolio return over the time interval via trade attribution matching, computing an incidental exposure residual to the portfolio return over the time interval, and presenting, based on the rebalancing trading profit contribution and the incidental exposure residual, a performance of the assets in the portfolio.

主权项

1. A method for analyzing a performance of at least one asset in a portfolio, the method comprising:
retrieving, from a number of financial sources, information for a list of trades, the list of trades representing assets associated with a portfolio that have been traded during a time interval; determining, based on the information, a number of returns associated with the list of trades over the time interval; creating, for each trade of the assets in the list of trades, a remainder fraction, the remainder fraction being equal to an initial fraction for that trade; determining, for each sale of the assets in the list of trades, a rebalancing trading profit contribution to a portfolio return over the time interval via trade attribution matching; computing an incidental exposure residual to the portfolio return over the time interval; and presenting, based on the rebalancing trading profit contribution and the incidental exposure residual, a performance of the assets in the portfolio.