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Trader Alpha Frontier: A Framework for Portfolio Managers and Traders to Maximize Portfolio Performance

Vlad Rashkovich
The Journal of Trading Fall 2018, 13 (4) 88-98; DOI: https://doi.org/10.3905/jot.2018.13.4.088
Vlad Rashkovich
is the global business manager for Trade Analytics at Bloomberg in New York, NY. vrashkovich1@bloomberg.net
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Abstract

Trader performance is currently measured against various benchmarks without consideration for the volatility of trading results. The author introduces trader alpha frontier (TAF) as a way to measure trader performance against the risks taken by the trader. This article formulates how to carve out trader alpha from overall portfolio returns. It also explores trader performance attribution by delineating between the main components of trader alpha and suggesting benchmarks to measure each component. As a result, the author unveils a new benchmark, called execution-weighted price (EWP). It is tough to reach TAF, but it is worth the effort since it aligns the mutual objective of a portfolio manager and a trader to maximize overall portfolio performance.

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The Journal of Trading: 13 (4)
The Journal of Trading
Vol. 13, Issue 4
Fall 2018
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Trader Alpha Frontier: A Framework for Portfolio Managers and Traders to Maximize Portfolio Performance
Vlad Rashkovich
The Journal of Trading Oct 2018, 13 (4) 88-98; DOI: 10.3905/jot.2018.13.4.088

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Trader Alpha Frontier: A Framework for Portfolio Managers and Traders to Maximize Portfolio Performance
Vlad Rashkovich
The Journal of Trading Oct 2018, 13 (4) 88-98; DOI: 10.3905/jot.2018.13.4.088
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  • Article
    • Abstract
    • MEASURING TRADER PERFORMANCE
    • TRADER RISK
    • DECOMPOSING TRADER ALPHA
    • MEASURING TRADER ALPHA WITH EXISTING BENCHMARKS
    • INTRODUCING A NEW BENCHMARK FOR TRADER ALPHA ATTRIBUTION
    • INVESTMENT TIMELINE AND PERFORMANCE ATTRIBUTION
    • TRADITIONAL PERFORMANCE ATTRIBUTION AND TRADER ALPHA
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
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