Decomposition Versus Decision-Evaluation
Opturo–Andre Mirabelli, Ph.D.– Modeling is more than a mathematical exercise. Its proper intent is to provide insight into the actual structure of the system being addressed. This requires more care then is typically exercised in the construction of models evaluating the amount to be attributed to each decision that contributes to a fund’s active return or active risk or risk-adjusted return.
Decomposition Versus Decision-Evaluation
Related news
First Rate Announces Partnership With Opturo
This unique partnership combines institutional level analytics and operational efficiency with industry-leading performance capabilities, allowing for an unmatched integration of advanced analytics and white glove managed services.
A bi-weekly challenge from Andre Mirabelli & Opturo
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…
Tired of Spreadsheet Chaos?
Ever wondered how to go from a high-level data insight to the root cause—without getting lost in spreadsheets? With Drilldown / Rollup Analysis in the SAYS Platform™, it's possible. Whether you're looking at performance attribution, operational risk, or compliance metrics, this feature lets you seamlessly move between summary and granular views of your data. One…
Read more