Overview
Portfolio performance can be a rather involved topic. The complexity comes from the fact that clients can add to and withdraw funds from a portfolio. This means that one cannot just measure performance by taking the net asset value one day divided by the net asset value the day before.
Calculating Performance
- Measuring Returns - the basics of return measurement.
- Aggregated Returns - discusses how to aggregate a set of period returns into a single return number that is a measure of performance.
- Risk Adjusted performance adjusts the calculated performance in order to account for the riskiness of the fund. This process is, unlike linking returns, has an element of subjectivity to it.
- Attribution is the process of trying to attribute performance to various factors or exposures that the portfolio has.
Manager Performance
Tools
- Nav Analysis - the nav analysis app will run a basic performance report against a time series representing the net asset value of the target portfolio.