Decomposition Versus Decision-Evaluation
Opturo–Andre Mirabelli, Ph.D.– Modeling is more than a mathematical exercise. Its proper intent is to provide insight into the actual structure of the system being addressed. This requires more care then is typically exercised in the construction of models evaluating the amount to be attributed to each decision that contributes to a fund’s active return or active risk or risk-adjusted return.
Decomposition Versus Decision-Evaluation
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Challenges Building A Performance & Attribution Application
Opturo--Andre Mirabelli, Ph.D.-- Building a robust ex post Performance and Attribution system involves a number of difficult challenges. It requires careful attention to a number of particular considerations and their convoluted interactions in order to consistently provide economically meaningful results, and not formally motivated calculations that are hidden behind familiar sounding names.
Read moreThe Annualization Of An Active Return
For FRA's Crash Course in Attribution--Andre Mirabelli, Ph.D.-- Presentation on the Annualization of an Active Return
Read moreA Bi-Weekly Challenge From Andre Mirabelli & Opturo:
How does an attribution modeler address the following challenge?
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