Contributions of Initial Holdings and Transactions to Performance

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While analyzing an investment portfolio and, more specifically, untangling its transactions, you’ve probably wondered which of these trades have had a decisive influence, positive or negative, on the performance of the portfolio. In this paper, we compute the contribution to performance of each initial holding and each transaction individually, i.e., these contributions can also be calculated at the level of the individual securities. The result is a time series of contributions to return, revealing transactions or groups of transactions having determinedly influenced the performance of the investment.

Laurent Cantaluppi, Ph.D., Cantaluppi & Hug

While analyzing an investment portfolio and, more specifically, untangling its transactions, you’ve probably wondered which of these trades have had a decisive influence, positive or negative, on the performance of the portfolio. In this paper, we compute the contribution to performance of each initial holding and each transaction individually, i.e., these contributions can also be calculated at the level of the individual securities. The result is a time series
of contributions to return, revealing transactions or groups of transactions having determinedly influenced the performance of the investment.

Contributions of Initial Holdings and Transactions to Performance

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