Understanding Total Portfolio and Portfolio Component Return Relationships

October 19th, 2015

When there are significant cash flows resulting in intra-period component reallocations, the estimated weighted total portfolio return can differ significantly from the weighted average return. Examine the sources and magnitude of this error.

In this white paper, you’ll find: 

  • Impact of internal and external cash flows on the total return-component relationship
  • The use of weighted average portfolio returns in the computation of composite returns
  • Transaction modified weighting factors
  • Return calculations and estimation errors

 

http://firstrate.com/wp-content/uploads/2015/10/FirstRate-Understanding-Total-Portfolio-WP.pdf