A bi-weekly challenge from Andre Mirabelli & Opturo
How should a performance modeler address the following?
For an illiquid, how do you assign/interpolate returns for each day in a year in a manner that does not misrepresent its daily volatility, when one only knows the returns for each of the four quarters in the year?
A bi-weekly challenge from Andre Mirabelli & Opturo
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A bi-weekly challenge from Andre Mirabelli & Opturo
If you use “Purchases in the Basis Dietz”, how do you approach the following scenario?The cash in a portfolio starts the day with a small gain and then the portfolio uses all of the starting cash and half of that small cash gain (“sells cash”) to purchase a non-cash instrument. Thus, nothing ever goes short.…
A bi-weekly challenge from Andre Mirabelli & Opturo
What if I invested by first doing an allocation among countries and then an allocation among sectors within countries, could I evaluate my sector allocation using a single-allocation Brinson model?See the paper and Excel example in Opturo's newsroom.
The Annualization Of Attribution
For Carl Bacon's Advanced Portfolio Attribution Analysis--Andre Mirabelli, Ph.D.--Annualization is necessary whenever one needs a temporally intensive property that can be used to compare the values of a temporally extensive property describing periods of different duration...
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