Performance Attribution

 

Subroutine library for performance attribution and

evaluation for equity portfolios.

Features

The Performance Attribution subroutine library is designed for building in-house systems in conjunction with any type of equity factor model. You can use them to:

• Attribute active portfolio performance, i.e., portfolio performance relative to a benchmark or normal portfolio.
• Attribute active portfolio performance to market exposure.
• Attribute active portfolio performance industry factors.
• Attribute active portfolio performance to other fundamental factors, such as company size, book/price ratio, etc.
• Attribute active portfolio performance to macroeconomic factors.
• Attribute active portfolio performance to statistical factors.
• Attribute active portfolio performance to company specific factors.
• Examine attributed returns over multiple time-periods.
• Link attributed returns over multiple time-periods to calculate summary returns for the entire history.
• Calculate t-statistics of attributed active portfolio performance by market-exposure, by common factors and company specfic factors, to evaluate the significance of the sources of portfolio perfomance.

Limits

None

Operating Environments

The Performance Attribution subroutine library is available in the following combinations of computer platforms and languages:

• Dynamic link library (DLL), or static library for Windows on the PC, for use with C/C++, Visual Basic, or Fortran programs.
• Linux on the PC for use with C/C++ programs.

Internet and Intranet Systems

The C/C++ subroutine library is thread-safe, and can be used to build Internet and Intranet systems.

 

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