by admin | Aug 4, 2010 | attribution, fixed income attribution
Someone e-mailed me this week asking about the status of attribution standards. He cited my article, “A Case for Attribution Standards” (Journal of Performance Measurement, Winter 2002/2003) and wondered if any progress has been made. Sadly, no. When the...
by admin | Jul 20, 2010 | attribution, fixed income attribution
As you’re probably aware, arithmetic attribution results in subperiod effects which are linking challenged; that is, if we attempt to link these subperiod (e.g., monthly) results to obtain longer (e.g., annual) period results, using, for example, simple...
by admin | Jun 1, 2010 | attribution, performance attribution
Most folks in our industry are aware that if you employ a holdings-based model for attribution, you’re subject to residuals creeping in. Residuals are the unexplained differences between the excess return (portfolio return minus benchmark return) and the sum of...
by admin | Apr 30, 2010 | attribution
I’m at the Spring meeting of the North American chapter of the Performance Measurement Forum in Boston. One of the issues that was raised deals with the case when a firm has a different classification structure than the index and the resulting impact this has on...
by admin | Apr 5, 2010 | attribution, performance attribution
We’re working with a client who needs to be able to respond to RFPs that ask “do you have daily attribution?” But what exactly does this mean? Does it mean “do you calculate attribution daily” or “can you report attribution from any...
by admin | Mar 29, 2010 | attribution
I believe that many misunderstand the role of hedging: some think it is the ideal approach when managing portfolios which are subject to the movement of various market segments, such as currency. Why wouldn’t you want to hedge your global portfolio? Some think...
