by admin | Nov 5, 2009 | attribution
Yesterday I discussed the “pricing” effect. Today I want to briefly touch on another “new” effect. By “new,” I don’t necessarily mean that it’s a recent introduction of an effect, but it’s new relative to the other...
by admin | Nov 4, 2009 | attribution, fixed income attribution
We recently met with a client for whom we’re designing a fixed income attribution system. During our meeting the subject of the “pricing” or “price difference” effect came up. This effect identifies the impact when the portfolio and...
by admin | Nov 3, 2009 | attribution, GIPS, Returns, risk
Through this blog I recently received a question that wasn’t related to a specific post. I opted not to respond because (a) I didn’t know who it was from (it was sent anonymously) and (b) it didn’t fit what it was tied to. I will be happy to respond...
by admin | Sep 8, 2009 | attribution, fixed income attribution
From an equity perspective most practitioners are familiar with the allocation, selection, and interaction effects, while from a fixed income perspective they’re familiar with the treasury (aka duration or yield curve management), spread, income, parallel,...
by admin | Aug 31, 2009 | attribution
A client who is considering a switch in attribution vendors asked me what the best system is. Well, that all depends, doesn’t it? Attribution software is a bit unique because it requires the firm to give a lot of thought as to how they wish to derive...
by admin | Aug 26, 2009 | attribution
I recently listened to a new Wayne Dyer recording during which he mentioned a study that was recently done regarding surgery. When individuals have severe, chronic pain from arthritis in their knees, they often undergo surgery. One orthopedist knew that the surgery...
