Performance Measurement Attribution- Virtual Training (Module 4 – Multi-period Attribution, PLUS)
Performance Measurement Attribution – Virtual Training
Module 4 – Multi-period Attribution, PLUS
Performance Measurement Attribution
Module 4 - Multi-period Attribution, PLUS
Virtual learning classes, approximately 4 hours each
Module 4: Multi-period Attribution, PLUS
- We will review several popular methods to link attribution effects over time, resulting in multi-period attribution. We will explain why the “simple” approaches typically do not work as expected. Students will gain a good understanding of the Cariño, Menchero, Frongello, and GRAP methods. In addition, students will discover a way to link absolute (contribution) effects across time.
- Asset owners need attribution, too; we’ll touch on a couple approaches
- Because hedge fund managers are absolute managers, relative performance does not apply. That said, they can still benefit from attribution, and we'll explain how.
- Now that you have the results, what do you do with them? We address this.
- We will touch on the challenges of software searches when it comes to attribution systems, and wrap up with a view on what lies ahead, including a discussion on risk-adjusted attribution.
- Exercises will be included to help the students gain a greater understanding of the models.