A bi-weekly challenge from Andre Mirabelli & Opturo
How does an attribution modeler address the following challenge?
If a Fund achieves 50% one year and 0% the next, and its Benchmark achieves 0% the first year and -50% the next, then the active return each year is 50%. Is the annualized active return 50%? Or is the annualized active return the annualized Fund return minus the annualized Benchmark return:{[(1+ 0.5)(1+ 0)]^(1/2) – 1} – {[(1+ 0)(1- 0.5)]^(1/2) – 1} = 51.7%?.
A bi-weekly challenge from Andre Mirabelli & Opturo
Related news
Make Investment Reporting and Data Management Effortless
Ever wonder how to make sense of performance and risk — after the fact, with precision and speed? With Opturo's SAYS Platform™, our Ex-Post Return / Risk Analytics feature turns historical data into actionable intelligence. Whether you're analyzing portfolio volatility, drawdowns, or Sharpe ratios across custom timeframes, we automate what traditionally takes hours — down…
Read moreThe Annualization Of An Active Return
For FRA's Crash Course in Attribution--Andre Mirabelli, Ph.D.-- Presentation on the Annualization of an Active Return
Read moreA bi-weekly challenge from Andre Mirabelli & Opturo
How should a performance modeler address the following? What criteria should be used to decide between different methods of iteration, including the seeding procedure, for the calculation of IRR? This is especially relevant if it turns out that different iteration procedures give significantly different resulting IRR values a non-negligible portion of the time. For example, would…