| 主权项 |
1. A computer-implemented method for computing and reporting the performance attribution of a set of portfolio holdings over time comprising:
electronically receiving and storing by the programmed computer a set of dates defining an attribution time horizon to be analyzed; for each date, electronically receiving and storing by the programmed computer a historical portfolio of holdings having investment weights in a set of investible assets; for each date, electronically receiving and storing by the programmed computer a set of factors and a set of factor exposures for each investible asset in the historical portfolio of holdings as of that date; for each date, electronically receiving and storing or calculating and storing by the programmed computer a factor return for each factor exposure as of that date: for each date, electronically receiving and storing or calculating and storing by the programmed computer specific returns for all investible assets in the portfolio as of that date; for each date, computing factor contributions by combining the investment weights of the historical portfolio, the factor exposures and the factor returns as of that date; for each date, computing specific contributions by combining the investment weights of the historical portfolio and the specific returns as of that date; computing one or more mathematical models using time series regression that describes a relationship between a time series of specific contributions as a function of the time series of factor contributions; selecting a preferred mathematical model from those computed; computing an adjusted set of factor contributions and specific contributions utilizing the preferred mathematical model; computing a performance attribution for the historical portfolios of holdings based on the adjusted set of factor and specific contributions; and electronically outputting the performance attribution results using an output device. |
