A bi-weekly challenge from Andre Mirabelli & Opturo

How does an attribution modeler address the following challenge?
If a Fund achieves 50% one year and 0% the next, and its Benchmark achieves 0% the first year and -50% the next, then the active return each year is 50%. Is the annualized active return 50%? Or is the annualized active return the annualized Fund return minus the annualized Benchmark return:{[(1+ 0.5)(1+ 0)]^(1/2) – 1} – {[(1+ 0)(1- 0.5)]^(1/2) – 1} = 51.7%?.

A bi-weekly challenge from Andre Mirabelli & Opturo

Related news

The Limited Efficacy Of Elementary Brinson Attribution Example

An Excel example for Dr. Andre Mirabelli's explanation of the limitations of Elementary Brinson Attribution.
Read more

Opturo’s Enhanced Union/Vlookup Feature for Seamless Data Unification

🔍 Ever spent hours reconciling disparate datasets, only to end up with more questions than answers? At Opturo, we get it. That's why SAYS Platform™ now includes an enhanced Union / Vlookup feature—built for analysts and data professionals who need agility without sacrificing accuracy. Here's how one of our clients is using it: They manage…
Read more

Portfolio Net Of Fee Performance

NYSSA Performance & Risk Analytics Committee--Krista Harvey, CFA, CIPM - TIAA, Andre Mirabelli, Ph.D. - Opturo -- Presentation on paper for Net-of-Fee Performance Calculations
Read more