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Special Report on

Risk-Adjusted Performance Attribution

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Systems and methods for attributing return, risk, and risk-adjusted performance for an investment portfolio. Residual factors for the investment portfolio may be determined based on a matrix of custom factors. The residual factors may correspond to a matrix of factor exposures for the portfolio that may be obtained by orthogonalizing true factors for the portfolio to the matrix of custom factors. The return of the portfolio may be attributed to the custom factors, the residual factors, and idiosyncratic effects. The risk of the portfolio may be attributed to the custom factors, the ...
the slope of the yield curve, and the credit spreads of the bonds in the portfolio. A portfolio manager may hold firm views on the ways in which these factors will change in the near future, so in three separate risk decisions he positions the assets in the portfolio to take advantage of the expected forthcoming market movements. If all views subsequently prove to be correct, then each decision will generate a profit. If one view is wrong, it will generate a loss, but the effect of the other bets may compensate. The overall performance will then be the sum of the performance contributions from each source of risk. Attribution is ...
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Derivatives Strategy - April'97: The New Beat of Equity Derivatives
Long the Street's wallflowers, equity derivatives are capturing the spotlight with an attractive combination of risk-mitigation and yield-enhancement features. By Nilly Ostro When equity derivatives burst on the scene earlier in the decade, proponents brashly predicted that they would immediately capture the imagination of institutional equity investors and quickly rival the volume of fixed-income and currency derivatives. The bond boom-and-bust that has dominated most of the decade put equity derivatives in something of a shadow, and most pension funds and money managers were content to ride the rising stock markets ... industry trends, business articles and survey research
Northfield Open Performance Attribution
adjusted performance analysis. Open Performance is designed to work not ..... PORTFOLIO EXPOSURE = The percent of the portfolio in each factor (in this example, each industry). ... Open Performance Attribution. Risk Decomposition. Report Example .... all common stocks with a minimum capitalization of $250 million. ... industry trends, business articles and survey research
Kulliyyah Korner: A Study of Islamic Finance: Searching for a New Path ...
The writer completed his MBA (Investment Management) from Concordia University and is a CFA Level 3 candidate. He was recently awarded the Islamic Finance Qualification (IFQ) designation. Mobasher has had four articles published in the Journal of Strategic Studies, Bahrain Center for Studies and Research. The first three dealt exclusively with Islamic finance topics namely: Sukuk ( see reference link ), Islamic Hedge Funds ( see reference link ) and the impact of the current financial crisis on Islamic banks ( see reference link ). The last paper dealt with the rise of sovereign wealth funds. My entry into the research ... market trends, news research and surveys resources
AIG Reports $2.7 Billion Net Loss Attributable to AIG for the Second Quarter ...
NEW YORK, Aug 06, 2010 (BUSINESS WIRE) -- American International Group, Inc. (AIG) today reported a net loss attributable to AIG of $2.7 billion for the second quarter of 2010, or $(3.96) per diluted common share, compared to net income of $1.8 billion, or $2.30 per diluted common share, in the second quarter of 2009. The second quarter 2010 loss was primarily due to a $3.3 billion non-cash goodwill impairment charge included in discontinued operations. Second quarter 2010 adjusted net income was $1.3 billion (compared to $1.1 billion in the second quarter of 2009), including ... market trends, news research and surveys resources


RISK-ADJUSTED. PERFORMANCE ATTRIBUTION. METHODOLOGIES. Giovanni Zambruno. University of Milano - Bicocca. OUTLINE: ² performance measures of managed funds ... technology research, surveys study and trend statistics
eSecLending Statement for SEC Roundtable, September 29, 2009 Panel ...
Sep 29, 2009 ... performance attribution, risk factors and relative performance .... to generate those returns, and how risk adjusted returns in their ... technology research, surveys study and trend statistics
Obtaining an accurate estimate of risk-adjusted performance for a portfolio manager .... PPT 24-36 Figure 24.11 Performance Attribution of ith Asset Class ...
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Fast Answers: Investing, Mutual Funds, Analysis. - MSN Money
Whether you’re buying a single fund or are maintaining an ongoing investment program, you need complete and accurate information. A good place to start is the Fund Research Wizard on MSN Money. The wizard steps you through a description of the fund, an evaluation of its performance, management tenure, expenses and risk. Then, it lets you compare these factors and those for two other funds side by side. How can I get more information about the funds I’ve invested in? In addition to the prospectus that all mutual funds must publish, funds produce annual reports that discuss how the fund has been faring and provide ...