Performance Attribution

 

Subroutine library for equity portfolio

performance attribution and evaluation.

Features

The custom built 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 following combinations of computer platforms, libraries and languages are supported:

• C/C++ object code library for Windows.
• C/C++ object code library for Linux.
• C/C++ source code library for Windows
• C/C++ source code library for Linux

 

Internet and Intranet Systems

The C/C++ subroutine library is thread-safe. You can encapsulate it with a C/C++ wrapper to build Internet and Intranet systems for Windows.

 

Consulting

Financiometrics Inc. provides consulting services for building in-house systems that incorporate the Performance Attribution subroutine library.

Tel: (925)254-9338

Copyright (C) 1992-2011 Financiometrics Inc.