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We usually compute return attribution to know how much each asset contributes to portfolio return. This calculation is quite easy because return formula is linear and sub-additive. In that context, one can split the whole portfolio return in smaller parts corresponding to each asset. However, although risk measures have to be coherent (monotonous, sub-additive, homogeneous […]
At ETS Asset Management Factory we are constantly improving our strategies by promoting innovation based on our data, algorithms, team and experience. Each of these elements serves a distinct purpose, collectively forming our company’s four main pillars.Following this philosophy, in today’s post we will be using an advanced algorithm to improve a module of the […]
In my post Linking Impact in Divergence Attribution I explained the need to use linking algorithms in order to aggregate single-period returns. I ended my exposition by setting out the formula for adjusted returns using Andrew Frongello’s algorithms (arguably the ones with best qualities in the industry).If you found this final expression of Frongello-adjusted attribution […]