A bi-weekly challenge from Andre Mirabelli & Opturo
How does an attribution modeler address the following challenge?
Karnosky and Singer provided an ex post decision attribution methodology that attributed active returns to currency decisions in an investment process that could actually be carried out. Are there ever valid reasons, in an ex post decision attribution process, for attributing active returns to currency-related properties that can never be implemented as steps in an actual investment process?
A bi-weekly challenge from Andre Mirabelli & Opturo
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Read moreA bi-weekly challenge from Andre Mirabelli & Opturo
If the central insight of Modern Portfolio Theory is that information about returns without commensurate information about risk is dangerously misleading, under what circumstances should one report, to portfolio managers or to asset owners, the results of an ex-post performance attribution that evaluates how much of the active return is due to each type of…