Ortec Finance, a leading provider of technology and solutions for risk and return management for financial institutions, is pleased to congratulate Arno Weber for being awarded the 2024 Peter Dietz Award for ‘Excellence in the Field of Performance Measurement Literature’.
The Advisory Board of The Journal of Performance Measurement selected Arno as the latest recipient in recognition of his paper ‘A Decision-based Approach to Risk-Adjusted Performance Attribution.’ In his award-winning paper, Arno proposes an expansion to the classic Brinson method by exploring whether a particular attribution effect was primarily due to taking risk or if it resulted from a superior allocation or stock-picking process that delivered risk-adjusted outperformance.
Commenting on his paper, Arno said, “Since investment decisions like allocations or selections deliberately change the risk profile of a portfolio, it is useful to make explicit how the risk management side of each decision impacted its contribution.”
Arno Weber is a senior software test analyst and plays a key role in the ongoing development of Ortec Finance’s longstanding investment performance measurement and attribution solution, PEARL. He has published a number of other research articles in The Journal of Performance Measurement including:
- Attribution-driven Investment Decision Processes: Exploring how to deal with multi-period attribution effects resulting from single-period effects, while preserving manageability criteria
- Geometric Attribution and the Interaction Effect – Introducing a new geometric attribution variant that is particularly useful for performance analysts who prefer to measure the independent impact of allocation and selection decisions
- Annual Risk Measures and Related Statistics – Demonstrating the correct method for annualizing a risk measure, under the assumption of compounded returns
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