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我想在我的投资组合管理软件中加入一个特定的绩效指标。这个指标应该是我可以衡量的

“选定资产的多少潜在收益已被选定的投资组合组合捕获”。

考虑下表报告投资组合在 2017/10 和 2018/03 日期之间的关键指标的表现

netpeq : 在此期间获得的净利润
aroc : 在此期间资产价格的年化变化率
cagr : 在此期间投资组合的复合年化增长率

我需要一个衡量 cagr（或 netpeq）和 aroc 之间差异的指标。也就是说，积极的 aroc表示，这些资产可能会产生增长（如 BA、MSFT、CSCO），但投资组合经理未能从这些资产中赚钱，甚至赔钱。

我想衡量投资组合经理错过捕获
a 的程度。投资组合中每项资产的增长潜力
b. 整个投资组合的整体增长潜力。

+---------+---------+----------+---------+------- +--------+--------+--------+
| 姓名 | netpeq | 画 | 阿罗亚 | 年复合增长率 | 锐化 | 右值 | 阿洛克 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 文学士 | -555.71 | 3439.15 | -36.54 | -1.25 | -0.17 | 0.42 | 64.58 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| DWDP | 0 | 0 | 0 | 0 | 0 | 0 | -13.18 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 猫 | -447.66 | 1361.54 | -74.36 | -1.01 | -0.66 | -0.17 | 39.91 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 仓库管理 | 363.25 | 448.09 | 183.34 | 0.82 | 1.1 | 0.66 | 4.73 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| UTX | 0 | 0 | 0 | 0 | 0 | 0 | 18.96 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| NKE | 690.34 | 498.24 | 313.36 | 1.57 | 1.21 | 0.84 | 67.19 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| VZ | -76 | 76 | -226.16 | -0.17 | -2.18 | -0.63 | 4.73 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| XOM | -272.87 | 555.36 | -111.12 | -0.62 | -0.65 | -0.46 | -18.69 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 通用电气 | 0 | 0 | 0 | 0 | 0 | 0 | -85.61 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| MCD | 1025.63 | 731.44 | 317.12 | 2.33 | 1.09 | 0.64 | -6.02 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| CSCO | -313.88 | 313.88 | -226.16 | -0.71 | -1.81 | -0.39 | 75.23 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 摩根大通 | 961.69 | 267.33 | 813.59 | 2.19 | 1.72 | 0.86 | 45.46 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 五 | 3261.55 | 1969.88 | 374.46 | 7.53 | 1.76 | 0.9 | 31.18 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| GS | 0 | 0 | 0 | 0 | 0 | 0 | 24.24 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 高清 | -32.32 | 960.59 | -7.61 | -0.07 | -0.06 | 0.09 | 20 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 聚四氟乙烯 | 0 | 0 | 0 | 0 | 0 | 0 | 4.12 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 柯 | 0 | 0 | 0 | 0 | 0 | 0 | -10.66 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 嗯| 0 | 0 | 0 | 0 | 0 | 0 | 17.01 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 信息系统 | 0 | 0 | 0 | 0 | 0 | 0 | 11.43 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| CVX | 357.2 | 1415.09 | 57.09 | 0.81 | 0.37 | 0.33 | -5.8 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 国际贸易中心 | 1632.52 | 599.42 | 615.95 | 3.73 | 1.4 | 0.63 | 67.32 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| PG | -197.12 | 314.7 | -141.66 | -0.45 | -1.25 | -0.72 | -32.05 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| TRV | -348.86 | 348.86 | -226.16 | -0.79 | -1.55 | -0.79 | 26.49 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 微软 | -205.86 | 680.29 | -68.44 | -0.46 | -0.42 | 0.25 | 47.6 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 苹果 | 0 | 0 | 0 | 0 | 0 | 0 | 28.32 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 江西 | 17.55 | 64.8 | 61.25 | 0.04 | 0.33 | 0.43 | -7.55 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| AXP | -1366.89 | 1492.43 | -207.14 | -3.06 | -1.69 | -0.77 | 5.65 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| IBM | 0 | 0 | 0 | 0 | 0 | 0 | 20.59 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 联合国大学 | 877.04 | 676.82 | 293.06 | 1.99 | 1.13 | 0.79 | 39.98 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| MRK | 0 | 0 | 0 | 0 | 0 | 0 | -27.88 |
+---------+---------+----------+---------+------- +--------+--------+--------+
| 运行端口 | 5369.6 | 10091.44 | 120.34 | 12.56 | 0.65 | 0.73 | -1 |
+---------+---------+----------+---------+------- +--------+--------+--------+
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1 回答 1

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衡量投资组合中的市场工具在多大程度上发挥其潜力的合理密集衡量标准是该时期的 IRR 与其同期的年化市场回报之间的几何差异。为此，您需要现金流量和流入和流出工具的日期、实际开盘和收盘市场价值以及组件的总市场回报。如果该工具或其 IRR 隐含值在此期间的任何时候都变短，那么您将需要使用 IRR 的高级版本，而不是 Excel 中提供的标准计算。
通常更相关的是对投资组合管理取得的可控相对成功的广泛衡量。最好通过使用日常数据进行精心制定的基于价值的决策归因分析来捕捉它。
安德烈·米拉贝利

于 2018-03-26T20:54:32.767 回答