A bi-weekly challenge from Andre Mirabelli & Opturo (July 6, 2020)
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.
A bi-weekly challenge from Andre Mirabelli & Opturo (July 6, 2020)
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The Limited Efficacy Of Elementary Brinson Attribution
Read Dr. Andre Mirabelli's explanation of the limitations of Elementary Brinson Attribution. An Excel example can be found above.
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Read moreA bi-weekly challenge from Andre Mirabelli & Opturo (August 3, 2020)
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?