A bi-weekly challenge from Andre Mirabelli & Opturo (September 28, 2020)
How does an attribution modeler address the following challenge?
Which are better for ex-post attribution:
Temporal smoothing algorithms that change the impact of decisions made on Monday due to results achieved on the subsequent Friday, as the smoothing methods of Carino and Menchero do, or temporal smoothing algorithms that can attribute non-zero impact to null decisions that have the fund perfectly match what the benchmark did, as the method of Frangello does?
A bi-weekly challenge from Andre Mirabelli & Opturo (September 28, 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?