December 14, 2016
Recording- An Alternative Perspective on Factor-Based Attribution
In this webinar, we present an alternative perspective to and a generalization of factor-based performance attribution. We propose a methodology that allows the user to replace the model’s underlying factor mimicking portfolios with variants that more closely reflect restrictions imposed on the portfolio management process. This allows the manager to better illustrate the added-value of his/her bets on different factors and also facilitates attribution to custom factors not readily available in off-the-shelf factor models.
Presenter: Dieter Vandenbussche, Director of Research