Performance Attribution

[bfoster]

Hi Mark

Your software generates all but one data point needed to calculate the Performance Attribution of a Portfolio versus a Custom Benchmark. What I wish to do is break down the overall comparative performance by asset type and security selection.

The data point I need is the average asset allocation over a specified range. I can only find choices for beginning or ending asset allocation values.

Is there an existing method to calculate the average asset allocation over a date range?

Thank you.

[Mark]

Hi bfoster,

You could define your own field in a Custom report. You can use something like this:

AVERAGE(STARTDAYS() ,ENDDAYS() ,End_Pport ,0 )

Which would give you the average % of the portfolio for each line item, evaluated from the report's starting date, through the report's ending date, excluding weekends. Please note, these functions can be compute intensive, so you might want to calculate it for a small portfolio for a small time period to get an idea of how long the calculation will take.

[bfoster]

Thanks for the prompt and detailed reply.

I'll attempt this solution this week and report back.

Cheers.