by admin | Mar 22, 2010 | attribution, performance attribution
We’re consulting with a non-software vendor client who is enhancing their performance measurement system, which includes transaction-based attribution. During a recent discussion they mentioned that they calculate attribution daily and then link these results....
by admin | Mar 4, 2010 | attribution, GIPS, Global Investment Performance Standards
I just got off the phone with a verification client who wanted to discuss attribution and the requirements of the Global Investment Performance Standards (GIPS(R)). Many firms want to include attribution in their marketing materials, and this is great! It provides the...
by admin | Jan 13, 2010 | attribution, Global Investment Performance Standards
I suspect that software vendors are often frustrated by some of the requests they receive from clients. Clients occasionally ask for things that don’t make sense, but the vendors have to respond (or attempt to convince the client that they’re wrong, which...
by admin | Dec 17, 2009 | attribution, benchmarks, performance attribution
A client asked me how they should handle the following situation: the benchmark their client assigned to them is a blend of two indexes, one of which values only monthly (the other, daily). They calculate performance attribution daily and smooth the one index’s...
by admin | Dec 16, 2009 | attribution
One of the controversial topics in performance attribution has to do with interaction. This effect exists in several models, but we’ll limit our discussion to its presence in the Brinson-Fachler model. Recall that there are three effects in all: allocation,...
by admin | Dec 15, 2009 | attribution, GIPS, Global Investment Performance Standards, Returns, risk
One question that occasionally surfaces is how big a performance department should be. There is no simple answer and it’s difficult to decide by simply doing a comparison with other firms. Some key points: all firms are different. Okay, maybe a bit of hyperbole,...
