performance attribution

classic Classic list List threaded Threaded
3 messages Options
Reply | Threaded
Open this post in threaded view
|

performance attribution

Ben Nachtrieb
Hello,

Posting again with more detail...

Can someone point me to a package that has portfolio performance and
exposure
attribution? I searched, but could not find what I was looking for.
Something like what our Bloomberg Terminal has, but I need to have the
ability to modify it so it includes non-equities related exposures and
returns etc. I realized there is a benchmark issue with non-equity
securities...

I'm looking to determine return from selection, allocation, currency, and
interaction (Brinson Attribution). I also want to look at exposures and
associated returns from exposures. Standard PA stuff. We will have daily
portfolio transaction data.

Thanks!

Ben

On Tue, 2011-05-10 at 19:50 -0600, Ben Nachtrieb wrote:
> Can someone point me to a package that has portfolio performance
> attribution? I searched, but could not find what I was looking for.

Could you be more specific, please?

Which particular attribution methods are you looking for?  References?

That would help me (and others) narrow in on functions that may do what
you want.

Regards,

 - Brian


--
Ben Nachtrieb

        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: performance attribution

braverock
Ben,

The Brinson model is a multi-factor model.

We're working on a package with Eric Zivot to do generalized
multi-factor modeling for finance in R, but right now you can reference
Eric's website for two recent seminars he's given on factor models for
attribution here:

http://faculty.washington.edu/ezivot/ezresearch.htm#Invited%20Lectures

code and slides are all there.

Regards,

   - Brian


On Thu, 2011-05-12 at 18:08 -0600, Ben Nachtrieb wrote:

> Hello,
>
> Posting again with more detail...
>
> Can someone point me to a package that has portfolio performance and
> exposure
> attribution? I searched, but could not find what I was looking for.
> Something like what our Bloomberg Terminal has, but I need to have the
> ability to modify it so it includes non-equities related exposures and
> returns etc. I realized there is a benchmark issue with non-equity
> securities...
>
> I'm looking to determine return from selection, allocation, currency, and
> interaction (Brinson Attribution). I also want to look at exposures and
> associated returns from exposures. Standard PA stuff. We will have daily
> portfolio transaction data.
>
> Thanks!
>
> Ben
>
> On Tue, 2011-05-10 at 19:50 -0600, Ben Nachtrieb wrote:
> > Can someone point me to a package that has portfolio performance
> > attribution? I searched, but could not find what I was looking for.
>
> Could you be more specific, please?
>
> Which particular attribution methods are you looking for?  References?
>
> That would help me (and others) narrow in on functions that may do what
> you want.
>
> Regards,
>
>  - Brian
>
>

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: performance attribution

aamm
In reply to this post by Ben Nachtrieb
Ben,

‘Performance attribution’ means different things to different people. There are two different questions addressed under this term.
One seeks an explanation of performance in terms of controllable investment decisions. (“Interaction” is not a well-formed investment decision and, thus, any well-formed investment-decision-attribution analysis will not have ‘Interaction” as one of its explanatory variables.) Decision attribution is normally associated with the name Brinson and the most general and robust implementation I know of is from Opturo. Opturo’s approach allows for balanced funds, since it allows the user to input their customized decision structure (employing, in any given order and structure, any parameter selection, such as duration, convexity, cap, and bucket allocation, such as asset, sector and/or industry, and currency decisions) rather than forcing the analysis into predetermined and, thus, inappropriate evaluations. So it can also address both equity and fixed alone and the decisions appropriate to each. It also provides the necessary correlate of risk attribution since, as modern portfolio theory insists, performance analysis without parallel risk analysis can only be dangerously misleading. Finally, it is the only system that correctly includes trades in its evaluation of the weighs and returns that decision attribution requires. The common daily trade-inclusive performance calculations employed by other systems are all variations on Deitz calculations, which are all deeply flawed and can easily be shown to produce absurd results. These absurdities show that even when the results do not appear absurd to the intuition, they are always unreliable.
The other kind of performance attribution seeks an explanation of performance in terms of uncontrollable market factors. I presume this is part of what you are seeking since you use the word “exposure.” All these models are difficult to significantly tinker with. Thus, their issue-level exposures are usually provided as a coherent unit by providers such as Barra, Northfield and APT.
Specifically in regards to these market factor models, the other question you should consider is whether you are interested in using them ex ante or ex post. If you are considering using them ex post then be sure that the weights that you employ are properly trade-adjusted. You do not want to be attributing exposure to a factor that you traded out of. Again, Opturo is the only package that I believe gets these trade-inclusive weights correct. Others, it they adjust for trades at all, employ some version of Dietz calculations, which are always flawed. Opturo allows you to take whatever factor exposure models you employ and join them with its properly trade-adjusted weights.
Most dangerous are models that conflate the investment-decision and the market-factor approaches. Their mixed methodologies do not provide answers to any clearly formulated economic questions. So you end up with numbers that have names that sound informative but all these actual values are not correct answers to the questions that their names imply or to any coherent question at all.