by admin | May 3, 2011 | fixed income attribution
A client recently asked me what the trend is regarding “building” fixed income attribution systems and what some of the “best practices” are for these systems.First, as to the trend, I would say it is to buy not build these systems, as there...
by admin | Jan 3, 2011 | fixed income attribution
We decided to introduce “guest bloggers,” and our first “guest blogger submission” is from Stephen Campisi, CFA. Steve has offered his comments on many of my posts, and for a variety of reasons I thought it fitting to have him provide us with...
by admin | Aug 4, 2010 | attribution, fixed income attribution
Someone e-mailed me this week asking about the status of attribution standards. He cited my article, “A Case for Attribution Standards” (Journal of Performance Measurement, Winter 2002/2003) and wondered if any progress has been made. Sadly, no. When the...
by admin | Jul 20, 2010 | attribution, fixed income attribution
As you’re probably aware, arithmetic attribution results in subperiod effects which are linking challenged; that is, if we attempt to link these subperiod (e.g., monthly) results to obtain longer (e.g., annual) period results, using, for example, simple...
by admin | Nov 19, 2009 | attribution, fixed income attribution
TSG, Inc. is hosting its 3rd annual Trends in Attribution Conference. This year’s program is at the Heldrich Hotel in New Brunswick, NJ. Our turnout is much better than one might have expected, given the economy … we have more folks here this year than in...
by admin | Nov 18, 2009 | attribution, fixed income attribution
At last week’s Performance Measurement Forum meeting in Rome we briefly discussed the issue of “pricing effects.” That is, the effect that can arise when your portfolio’s prices don’t match what’s in the index. Recall that we...
