Challenges Building A Performance & Attribution Application
Opturo–Andre Mirabelli, Ph.D.– Building a robust ex post Performance and Attribution system involves a number of difficult challenges. It requires careful attention to a number of particular considerations and their convoluted interactions in order to consistently provide economically meaningful results, and not formally motivated calculations that are hidden behind familiar sounding names.
Challenges Building A Performance & Attribution Application
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Read moreA bi-weekly challenge from Andre Mirabelli & Opturo
How should a performance modeler address the following?Is the return of a short, considered itself as a financial instrument or derivative investment vehicle, the return of its underlying (i.e., the shorted holding), implying that when the short loses money that “the return of the short” itself is positive? That is, if a short lost money…
The Structure And Visualization Of Performance Attribution
The Journal of Performance Measurement--Andre Mirabelli, Ph.D.--This paper presents a simply additive, yet formally exact, approach to multi-period performance attribution. It also introduces a visual representation, which makes this new approach and its relationship to prior approaches intuitively clear.
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