Posts Tagged: attribution

Abnormal Returns’ are defined here as a return that appears to misrepresent the true economic performance of the asset being measured. Considerable time and effort may need to be expended in providing adjustments, workarounds and/or explanation to the recipients of the performance results, adding to the performance data management overhead within investment management firms. Read more…

How much of your portfolio’s risk comes from the volatilities of the individual investments you’ve made and how much comes from the interactions those investments have with each other? Most portfolio risk models scramble volatility and correlation together and do not allow a separation of risk into a “pure volatility” component and a “pure correlation” component, even though those two measures are key ingredients in the models. Read more…

The headwinds for actively managed equity funds are formidable. After too many years where too few managers were able to beat their benchmark, investors are increasingly voting with their wallets. The AUM of passive investment products such as ETFs and tracker funds is forecast to double over the next two years. It is easy to understand why active investment strategies are not always the media darling.  Read more…

Equity attribution quantifies the relationship between a portfolio’s excess return and the active decisions of the portfolio manager. It is an important measure to provide feedback to portfolio managers, senior management and in turn clients, on why the portfolio either outperformed or underperformed the benchmark.  Read more…