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
A 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…
Unlock seamless data control
Data-driven teams know: seamless integration is the backbone of efficient analytics. That's why ODIN's Web Services feature is built to do more than just connect systems — it enables scalable, automated data exchange between platforms with ease and precision. One example? A global asset manager needed to bring in performance and risk data from multiple…
Read moreMulti-Period Decision Attribution
Brinson Attribution was originally conceived as a single-period evaluation of the impact of sector effects vs. issue effects. Its development has moved along two dimensions. The first is its expansion to include multiperiod evaluations. The second is toward a clearer understanding of its purpose as an evaluation of controllable investment decisions.
Read more