摘要 |
A system, method and computer program product provides for portfolio analysis in one or more exemplary periods. The method may includes determining weight and return measures between a plurality of assets based upon the likely performance of the assets. The method may also includes determining at least one allocation measure (AM) of the plurality of assets, and decomposing the at least one allocation measure (AM) respectively into at least one static allocation (SA) measure and at least one dynamic allocation (DA) measure. The method may also include determining at least one variance measure (VM); and decomposing the at least one variance measure (VM) into at least one static variance (SV) measure and at least one dynamic variance (DV) measure. The measure may also include attributing performance of the active portfolio of the at least one active portfolio manager across the SA, DA, SV and DV.
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