Absolute Return Equity Risk Attribution and Forecasting
$25
This article develops an intuitive absolute return based attribution framework for the volatility and information
ratio of a trading strategy. The results are valid for strategies at all trading frequencies given the appropriate selection
of measurement and decision frequencies. The paper also focuses on risk forecasting through use of an exante
version of our attribution model.
Author: Ricky Cooper, Ph.D. & Tingting Li
This article develops an intuitive absolute return based attribution framework for the volatility and information ratio of a trading strategy. The results are valid for strategies at all trading frequencies given the appropriate selection of measurement and decision frequencies.
Absolute Return Equity Risk Attribution and Forecasting
