Portfolio Performance Contributions

Abstract

Portfolio performance contributions form a summable set of measures which explains and breaks down the different sources of a portfolio global performance in presence of external cash flows. External flows are movements of value such as transfers of cash, securities or other instruments in or out of the portfolio, with no equal simultaneous movement of value in the opposite direction, and which are not income from the investments in the portfolio (such as interest, coupons or dividends) or outcome (such as fees). The sum of the performance contributions of the portfolio components (assets performance, currencies performance, fees or other portfolio internal sources of performance) corresponds to the portfolio global performance.

Keywords: portfolio, performance, contribution, portfolio performance, portfolio contribution, performance contribution, portfolio performance contribution, performance measurement, performance attribution