A bi-weekly challenge from Andre Mirabelli & Opturo (October 12, 2020)
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 investment decision implemented, if one is not also going to report the results of an ex-post performance attribution that evaluates how much of a relevant risk measure is due to each type of investment decision implemented?
A bi-weekly challenge from Andre Mirabelli & Opturo (October 12, 2020)
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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?