Performance attribution
Performance attribution for multifactorial equity portfolios
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
Podcast: Matthew Dixon on decomposition of portfolio risk
New approach calculates contributions to value-at-risk for nonlinear portfolios
Solving the SFTR data challenge
Europe’s new rules on securities financing transactions require firms to collect and report a mass of new data. This is a challenge, but also an opportunity
Wells Fargo uses machine learning for performance attribution
Clustering algo delivers speedier and more accurate explanations of portfolio returns
The implications of value-at-risk and short-selling restrictions for portfolio manager performance
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
An enterprise perspective of performance attribution: introducing the keel model
In this paper, performance attribution is extended to an enterprise level based on the keel model. The keel model introduced here is applied to the problem of attributing enterprise value changes to various risk factors.
Progress checked: buy side still struggling to join up analytics
Firms see benefit in linking performance attribution and risk, but differences in approach are a constraint on headway
Risk measurement: A call for standards
Risk professionals and investors would both benefit from industry-wide norms
A profit and loss attribution framework for physical and financial energy portfolios
A P&L attribution framework can improve the information available to energy traders