Getting “Performance Attribution”

First Rate 2014 Performance Conference: Solutions through Integration–Andre Mirabelli, Ph.D.– Presentation on understanding Performance & Attribution Systems

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Getting “Performance Attribution”

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A bi-weekly challenge from Andre Mirabelli & Opturo

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?