We have investigated the behavior of the Brinson model when used for evaluating the outperformance over multiple periods.
We have shown that the allocation effect calculated over multiple periods can capture next to the added value of allocation decisions an effect that arises due to the drift in weights introduced by selection decisions. By an extension to the Brinson method this effect can be isolated resulting in a more intuitive attribution analysis. Furthermore we have evaluated different smoothing algorithms.
06 November 2020Proud sponsor of Cutter Associates Virtual Meetings
PEARL, Ortec Finance performance measurement & attribution software proud sponsor of Cutter Associates Virtual Member Meetings. Info, agenda, registration.
04 November 2020Elske van Burgt in 8th iPARM 2020 panel
8th iPARM 2020 with Elske van de Burgt, Head of Investment Performance in panel The Pros And Cons Of Traditional Investment Risk Measures. Listen or buy tickets.
07 October 2020PEARL 8.4 release end of October
PEARL 8.4 to be released end of October. Performance measurement workflow improvements and other new features. Contact for release notes or demo
06 October 2020Get your full copy of the ‘Configuring-Reporting-Workflow’ presentation
Bas Leerink has put together a 25 pager on Ortec Finance’s Performance Attribution methodology. It describes the specific steps on Configuration, Reporting and Workflow support.
29 September 2020More on our 3 step approach in configuring attributions
Download leaflet on 3-step approach configuring attribution. Bas Leerink comments on positive reactions on 3-step approach publication.
14 September 2020Union Investment goes live with PEARL
Union Investment, one of the most successful German fund managers, has adopted Ortec Finance’s Performance Measurement, Attribution & GIPS solution PEARL for their asset management services.
04 September 2020Cbus chooses Ortec Finance PEARL software for performance measurement of investments
Australia’s Construction and Building Unions Superannuation (Cbus) has chosen Ortec Finance’s PEARL software to enhance performance measurement of its investment portfolio.
24 August 2020How to deal with multi period attribution effects resulting from single period effects
In this research paper Arno Weber addresses how to deal with multi-period attribution effects resulting from single-period effects, such that the manageability criteria are preserved.