Correct Calculation of Ex Post Contributions to Return, Volatility and Tracking Error

Posted: 13 Jan 2011 Last revised: 12 Jun 2013

Date Written: January 12, 2011

Abstract

In this research note, we explain how to correctly calculate contributions to ex post returns and ex post volatility and tracking error. The calculations are performed on a realistic portfolio, i.e. a portfolio in which the asset weights change over time due to active management and passive drift. Further, we introduce a novel type of calculation that allows the distinction between risk contributions due to positioning and trading. We also show how risk contributions can be calculated without calculating a covariance or even volatility.

Keywords: Ex Post Portfolio, Contribution Return, Volatility, Tracking Error

Suggested Citation

Steiner, Andreas, Correct Calculation of Ex Post Contributions to Return, Volatility and Tracking Error (January 12, 2011). Available at SSRN: https://ssrn.com/abstract=1739209 or http://dx.doi.org/10.2139/ssrn.1739209

Andreas Steiner (Contact Author)

Andreas Steiner Consulting GmbH ( email )

Walderstrasse 43c
Hinwil, 8340
Switzerland

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
2,130
PlumX Metrics