Methodology
How TrackRecords measures TWR/MWR, contribution, Brinson attribution, bond metrics from cash flows, ratings and floating-rate cash flows
These notes describe the calculations that sit behind portfolio analytics in TrackRecords. Returns and attribution need a transaction-based book (or an official NAV series). Bond metrics, ratings and floater scenarios also feed limits, risk and the bond calculator.
- TWR and MWR: time-weighted vs money-weighted return, total vs capital, gross vs net of fees
- Contribution: which names and groups explain portfolio TWR (and MWR), with Menchero or Frongello linking
- Attribution versus benchmark: Brinson BHB/BF excess return, linking methods, and benchmark vs benchmark
- Custom benchmarks: policy-weighted baskets, rebalancing, buy-and-hold and the rebalancing effect
- YTM, duration, DV01, z-spread and beta: metrics computed from cash flows, with horizon and coupon-scenario settings
- Aggregated credit rating: a single rating from several agencies, plus custom aggregation algorithms
- Floaters and inflation-linked bonds: unknown coupons and indexed principal under implied, flat and custom scenarios