by admin | Jan 6, 2011 | attribution, performance attribution, private equity
I’ll be teaching a class for a client later this month who asked for some specific topics to be included, one of which is private equity attribution. The challenges with private equity are: They typically don’t have indexes, so we can’t use relative...
by admin | Jan 5, 2011 | attribution, performance attribution
A colleague sent me an interesting question, which I will summarize here: An account has a single cash flow during the month, so there are two sub periods for performance to generate a TWRR. Although we can link the returns to get the full month return, it isn’t...
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 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 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 | 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...
