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Quant Nugget 5: Return Calculations for Leveraged Securities and Portfolios


Attilio Meucci


SYMMYS; Kepos Capital
September 10, 2010

GARP Risk Professional, pp. 40-43, October 2010

Abstract:     
How can we report returns for a swap that has zero value? How can we perform return optimization for a zero-value long-short portfolio? By introducing a suitable "basis", it is possible to extend the definition of returns to leveraged products in such a way that performance attribution and portfolio optimization are feasible. Risk-adjusted performance attribution and connections of performance attribution with probability theory are also discussed.

Number of Pages in PDF File: 7

Keywords: Leverage, portfolio weights, swaps, futures, risk-adjusted performance attribution, hierarchical portfolios, conditional probability

JEL Classification: C1, G11

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Date posted: September 12, 2010 ; Last revised: November 15, 2010

Suggested Citation

Meucci, Attilio, Quant Nugget 5: Return Calculations for Leveraged Securities and Portfolios (September 10, 2010). GARP Risk Professional, pp. 40-43, October 2010 . Available at SSRN: http://ssrn.com/abstract=1675067

Contact Information

Attilio Meucci (Contact Author)
SYMMYS ( email )
HOME PAGE: http://www.symmys.com
Kepos Capital ( email )
Feedback to SSRN (Beta)


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