I would like to incorporate a particular performance metric into my portfolio managing software. This metric should be one where I can measure
"how much of the potential gains from the selected assets have been captured by the selected portfolio composition".
Consider the following table reporting a portfolio's performance with key metrics between dates 2017/10 and 2018/03
netpeq: net $ profit gained over the period
aroc: annualized rate of change in asset's price over the period
cagr: compounded annualized growth of portfolio over the period
I need a metric which penalizes divergence between cagr (or netpeq) and aroc. Namely, positive aroc says these asset could have produced growth (as in BA, MSFT, CSCO) but the portfolio manager failed to make money out of these or even lost money.
I would like to measure the extent the portfolio manager missed to capture
a. the growth potential due to each asset in the portfolio
b. the overall growth potential w.r.t portfolio as a whole.
+---------+----------+----------+---------+-------+--------+--------+--------+ | name | netpeq | draw | aroa | cagr | sharpe | rvalue | aroc | +---------+----------+----------+---------+-------+--------+--------+--------+ | BA | -555.71 | 3439.15 | -36.54 | -1.25 | -0.17 | 0.42 | 64.58 | +---------+----------+----------+---------+-------+--------+--------+--------+ | DWDP | 0 | 0 | 0 | 0 | 0 | 0 | -13.18 | +---------+----------+----------+---------+-------+--------+--------+--------+ | CAT | -447.66 | 1361.54 | -74.36 | -1.01 | -0.66 | -0.17 | 39.91 | +---------+----------+----------+---------+-------+--------+--------+--------+ | WMT | 363.25 | 448.09 | 183.34 | 0.82 | 1.1 | 0.66 | 4.73 | +---------+----------+----------+---------+-------+--------+--------+--------+ | UTX | 0 | 0 | 0 | 0 | 0 | 0 | 18.96 | +---------+----------+----------+---------+-------+--------+--------+--------+ | NKE | 690.34 | 498.24 | 313.36 | 1.57 | 1.21 | 0.84 | 67.19 | +---------+----------+----------+---------+-------+--------+--------+--------+ | VZ | -76 | 76 | -226.16 | -0.17 | -2.18 | -0.63 | 4.73 | +---------+----------+----------+---------+-------+--------+--------+--------+ | XOM | -272.87 | 555.36 | -111.12 | -0.62 | -0.65 | -0.46 | -18.69 | +---------+----------+----------+---------+-------+--------+--------+--------+ | GE | 0 | 0 | 0 | 0 | 0 | 0 | -85.61 | +---------+----------+----------+---------+-------+--------+--------+--------+ | MCD | 1025.63 | 731.44 | 317.12 | 2.33 | 1.09 | 0.64 | -6.02 | +---------+----------+----------+---------+-------+--------+--------+--------+ | CSCO | -313.88 | 313.88 | -226.16 | -0.71 | -1.81 | -0.39 | 75.23 | +---------+----------+----------+---------+-------+--------+--------+--------+ | JPM | 961.69 | 267.33 | 813.59 | 2.19 | 1.72 | 0.86 | 45.46 | +---------+----------+----------+---------+-------+--------+--------+--------+ | V | 3261.55 | 1969.88 | 374.46 | 7.53 | 1.76 | 0.9 | 31.18 | +---------+----------+----------+---------+-------+--------+--------+--------+ | GS | 0 | 0 | 0 | 0 | 0 | 0 | 24.24 | +---------+----------+----------+---------+-------+--------+--------+--------+ | HD | -32.32 | 960.59 | -7.61 | -0.07 | -0.06 | 0.09 | 20 | +---------+----------+----------+---------+-------+--------+--------+--------+ | PFE | 0 | 0 | 0 | 0 | 0 | 0 | 4.12 | +---------+----------+----------+---------+-------+--------+--------+--------+ | KO | 0 | 0 | 0 | 0 | 0 | 0 | -10.66 | +---------+----------+----------+---------+-------+--------+--------+--------+ | MMM | 0 | 0 | 0 | 0 | 0 | 0 | 17.01 | +---------+----------+----------+---------+-------+--------+--------+--------+ | DIS | 0 | 0 | 0 | 0 | 0 | 0 | 11.43 | +---------+----------+----------+---------+-------+--------+--------+--------+ | CVX | 357.2 | 1415.09 | 57.09 | 0.81 | 0.37 | 0.33 | -5.8 | +---------+----------+----------+---------+-------+--------+--------+--------+ | INTC | 1632.52 | 599.42 | 615.95 | 3.73 | 1.4 | 0.63 | 67.32 | +---------+----------+----------+---------+-------+--------+--------+--------+ | PG | -197.12 | 314.7 | -141.66 | -0.45 | -1.25 | -0.72 | -32.05 | +---------+----------+----------+---------+-------+--------+--------+--------+ | TRV | -348.86 | 348.86 | -226.16 | -0.79 | -1.55 | -0.79 | 26.49 | +---------+----------+----------+---------+-------+--------+--------+--------+ | MSFT | -205.86 | 680.29 | -68.44 | -0.46 | -0.42 | 0.25 | 47.6 | +---------+----------+----------+---------+-------+--------+--------+--------+ | AAPL | 0 | 0 | 0 | 0 | 0 | 0 | 28.32 | +---------+----------+----------+---------+-------+--------+--------+--------+ | JNJ | 17.55 | 64.8 | 61.25 | 0.04 | 0.33 | 0.43 | -7.55 | +---------+----------+----------+---------+-------+--------+--------+--------+ | AXP | -1366.89 | 1492.43 | -207.14 | -3.06 | -1.69 | -0.77 | 5.65 | +---------+----------+----------+---------+-------+--------+--------+--------+ | IBM | 0 | 0 | 0 | 0 | 0 | 0 | 20.59 | +---------+----------+----------+---------+-------+--------+--------+--------+ | UNH | 877.04 | 676.82 | 293.06 | 1.99 | 1.13 | 0.79 | 39.98 | +---------+----------+----------+---------+-------+--------+--------+--------+ | MRK | 0 | 0 | 0 | 0 | 0 | 0 | -27.88 | +---------+----------+----------+---------+-------+--------+--------+--------+ | RunPort | 5369.6 | 10091.44 | 120.34 | 12.56 | 0.65 | 0.73 | -1 | +---------+----------+----------+---------+-------+--------+--------+--------+
