Portfolio Contribution for Model Portfolios
planned
Conor MacNeil
marked this post as
planned
Conor MacNeil
Merged in a post:
More Detailed Quant. Stats. in Model Portfolio's
U
Universal Crab
In addition to standard performance attribution, I’d like a metric that captures both the frequency and the magnitude of successful investments. Right now we can see a ‘hit rate’ or batting average (how often positions are winners), but what we’re missing is the investment equivalent of slugging percentage — something that weights each win by its impact (total contribution or excess return per position relative to risk).
Could you add a statistic that calculates:
Batting Average: % of investments/trades that outperform their benchmark.
Slugging %: Total contribution of winners ÷ number of opportunities (or ÷ all positions), weighted by magnitude.
This would allow us to evaluate not only how often we’re right, but how much being right actually matters.
Conor MacNeil
Merged in a post:
Model Portfolios - Performance Attribution
P
Prospective Impala
When can we expect performance attribution to be included in the model portfolios analysis? This is a very important tool to help understand the ultimate performance and underperformance of different models. Thank you
Conor MacNeil
Hey Ian, we have explored contribution and attribution. There was some performance improvements we wanted to get through before we did that (these calculations are intensive on the system).
We plan to tackle contribution and attribution in the future, perhaps if you'd like to break down a few examples of your desired workflow, this will help us when we come to build it.
P
Prospective Impala
Conor MacNeil Hi Conor. Our firm has shown interest in Koyfin on a broader level as well. One of the key characteristics of other services that they appreciate is the ability to look into performance and see what funds or stocks are contributing to the total return. This would be key in helping us determine if active management choices have provided the alpha we may have been hoping for.
-Absolute contribution to return for each fund (how much each fund added or detracted from the total portfolio return).
-Relative contribution compared to our benchmark (if given).
I would imagine we can get there by multiplying the weighting of the holding by the return of the holding. If we sum the totals we would get the total portfolios return. Doing this over multiple time periods would be helpful for us in creating and sharing our narrative and broader themes with clients.
Today we aren't able to see what a certain holding did without going and looking up the holding separately when looking in models.
Conor MacNeil
Prospective Impala: This is great feedback, and aligns with what we are planning to do with respect to attribution. We will update this ticket as and when we move forward on that, and hopefully we can do it sometime soon for you.
Conor MacNeil
marked this post as
open
Conor MacNeil
Merged in a post:
Performance Contribution
U
Umber Quail
Conor MacNeil
marked this post as
under review
Conor MacNeil
Merged in a post:
Model Portfolio Questions
P
Prospective Impala
Hello, two questions.
- Is there a way to see certain funds attribution to the total portfolio return?
- Is there a place to see total portfolio maturity & duration? I see it broken down by holding, but looking for the model portfolios total maturity. Thank you!
Conor MacNeil
Hi Ian, thanks for the questions.
1) We plan to introduce attribution analysis next year.
2) This isn't something we have today, but will add this to our feature backlog for model portfolios.
M
Maria Karpenko
Merged in a post:
Model Portfolio Performance Attribution
H
Harlequin Starfish
Could you add holding performance attribution to the model portfolios outputs like you have attribution for ETFs? Would be very helpful. Thanks!
Load More
→