Overview : Performance
Overview : Performance visualizes a portfolio's profits and losses (PnL) and decomposes them across factors and alpha. Factors are further decomposed to identify what factors contributed the most - both positively and negatively - to your portfolio's cumulative return.
This interactive attribution report instantly updates for (1) any time period, (2) any selected date, (3) any factor category, and (4) any risk model & benchmark.
1. Time Selection
Select the time frame — MTD, 1M, 3M, 6M, YTD, 1 Year, 3 Year — from the dropdown selector. Or, click on "Select Custom Range" to input a custom date range.
2. Total, Alpha, Factor Cumulative Returns (and optionally, Trading Returns)
The application visualizes the portfolio's cumulative total return for the selected time period (1). This attribution includes realized return broken down into its alpha and factor components. A fourth graph — Trading P&L — will appear if P&L data is provided.
Clicking on any of the graphs updates the cumulative performance for the selected day and updates the top factor contributors to the right.
Returns are calculated following the Return Calculation Methodology article. Summary: cumulative total return is calculated as the geometric sum over the total daily returns, and subsequently, cumulative factor return + cumulative alpha return = cumulative total return.
3. Top Factor Contributors
Showing a snapshot of the top winning & losing factor contributors for any particular day displays which factors are driving your performance. Click on a factor name to open up its factor profile.
The Factor Return column displays the the factor's performance in the market for the selected time period. Depending on your portfolio's exposure to this factor, this factor's movement may boost or drag your performance.
4. Risk Model. Benchmark Selection & Active Metrics.
This displays the shorthand name of the model that is used to calculate all metrics shown within the portfolio context — Overview, Analyze, Rebalance, Market. The portfolio can be configured to use any model you have access to, as described in the Portfolio Operations article.
Clicking on the Active Toggle updates the portfolio to show active metrics against the selected Index or Portfolio.
Once toggled on, active performance can be understood as a relative return measure of ones portfolio against an Index or Portfolio.
Please contact [email protected] to request access to other models and benchmarks, including creating custom benchmarks.