A bi-weekly challenge from Andre Mirabelli & Opturo
When there are flows into or out of a portfolio, can fees that are paid at the end of a period be accrued over the days of the period in a manner that preserves, from before implementing the accrual to after implementing the accrual, both the ending market value and the net return for the period?
In the Opturo Newsroom, this is noted in ‘Challenges Building A Performance & Attribution Application’ and is discussed in the paper “Portfolio Net of Fee Performance” available there.
A bi-weekly challenge from Andre Mirabelli & Opturo
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Read moreA 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?