我想将特定的绩效指标纳入我的投资组合管理软件中。这个指标应该是我可以衡量的指标
"选定资产的潜在收益中有多少被选定的投资组合组合所捕获"。
考虑下表，报告投资组合在2017/10和2018/03之间的表现以及关键指标
净PEQ：期内获得的净利润AROC：期内
资产价格的年化变化率 复合年增长率：该期间投资组合的复合年化增长率
我需要一个指标来惩罚 cagr(或 netpeq)和 aroc 之间的分歧。也就是说，正aroc表示这些资产本可以产生增长(如 BA、MSFT、CSCO)，但投资组合经理未能从中赚钱，甚至亏损。
我想衡量投资组合经理在多大程度上错过了a
.投资组合
中每种资产的增长潜力b.整体投资组合的整体增长潜力。
+---------+----------+----------+---------+-------+--------+--------+--------+ |姓名 |网培 |平局 |阿罗阿 |复合年增长率 |夏普 |右值 |阿罗克 | +---------+----------+----------+---------+-------+--------+--------+--------+ |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 | +---------+----------+----------+---------+-------+--------+--------+--------+ |WMT |363.25 |448.09 |183.34 |0.82 |1.1 |0.66 |4.73 | +---------+----------+----------+---------+-------+--------+--------+--------+ |UTX |0 |0 |0 |0 |0 |0 |18.96 | +---------+----------+----------+---------+-------+--------+--------+--------+ |新科 |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 | +---------+----------+----------+---------+-------+--------+--------+--------+ |中科 |-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 | +---------+----------+----------+---------+-------+--------+--------+--------+ |V |3261.55 |1969年88月 |374.46 |7.53 |1.76 |0.9 |31.18 | +---------+----------+----------+---------+-------+--------+--------+--------+ |一般事务人员 |0 |0 |0 |0 |0 |0 |24.24 | +---------+----------+----------+---------+-------+--------+--------+--------+ |高清 |-32.32 |960.59 |-7.61 |-0.07 |-0.06 |0.09 |20 | +---------+----------+----------+---------+-------+--------+--------+--------+ |PFE |0 |0 |0 |0 |0 |0 |4.12 | +---------+----------+----------+---------+-------+--------+--------+--------+ |科 |0 |0 |0 |0 |0 |0 |-10.66 | +---------+----------+----------+---------+-------+--------+--------+--------+ |MMM |0 |0 |0 |0 |0 |0 |17.01 | +---------+----------+----------+---------+-------+--------+--------+--------+ |分遣队 |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 |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 | +---------+----------+----------+---------+-------+--------+--------+--------+ |MSFT |-205.86 |680.29 |-68.44 |-0.46 |-0.42 |0.25 |47,6 | +---------+----------+----------+---------+-------+--------+--------+--------+ |亚高利 |0 |0 |0 |0 |0 |0 |28.32 | +---------+----------+----------+---------+-------+--------+--------+--------+ |JNJ |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 | +---------+----------+----------+---------+-------+--------+--------+--------+ |新罕布什尔大学 |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 | +---------+----------+----------+---------+-------+--------+--------+--------+
衡量投资组合中市场工具在多大程度上抓住了其潜力的合理密集衡量标准是该期间的内部收益率与同期年化市场回报之间的几何差异。 为此，您需要进出工具的现金流金额和日期、其实际开盘和收盘市场价值以及组件的总市场回报。 如果工具或其内部收益率隐含值在此期间的任何时候都很短，那么您将需要采用高级版本的IRR，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所实现的可控相对成功的广泛衡量。最好通过使用每日数据进行精心制定的基于价值的决策归因分析来捕获它。
安德烈·米拉贝利