(republished August 2022) 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.
Related Insights
-
09 April 2024PRESS RELEASE: Ortec Finance releases integrated economic and climate scenariosFind out more about the industry’s first integrated economic and climate risk management tool.
-
25 March 2024Qantas Super partners with Ortec Finance to implement PEARL investment performance softwareQantas Super an Australian corporate superannuation fund with $8.9 billion in assets, has integrated Ortec Finance’s performance attribution platform, PEARL, to enhance their performance and attribution capabilities.
-
19 March 2024In-House Student Day: Thursday 30 May, 2024 - RotterdamCalling all students! Join us for an unforgettable day of insights and inspiration at our exclusive In-House Student Day.
-
29 February 2024Client Conference 2024 program is releasedMay 15 & 16, 2024 Ortec Finance’s clients gather in Amsterdam for an in-person Client Conference. The event takes place in the iconic Eye Film Museum.
-
23 February 2024Ortec Finance's 2023 customer satisfaction survey shows high scoresThis consistent positive feedback reflects the strong rapport we share with our clients around how our solutions solve their challenges.
-
12 February 2024PRESS RELEASE: Ortec Finance appoints Hens Steehouwer as Chief Innovation OfficerHens will responsible for integrating climate risk and expanding AI capabilities
-
13 November 2023Varma Transforms Investment Performance Management with Ortec Finance's PEARL SolutionVarma transforms their Investment Performance Management with Ortec Finance's PEARL solution, enhancing their investment oversight and efficiency.
-
22 August 2023Elske van de Burgt sit down with Pat and Doug for Episode 7 of TSG Time podcastListen to Elske van de Burgt on Episode 7 of TSG Time podcast where she talks about the 2002 Dietz Award-winning article, “Decision-based Evaluation of the Performance of a Hierarchically Structured Investment Process,” which she co-authored with Jeroen Geenen, Marc Heemskerk, and Michiel Heerema, and provides some information on her upcoming speaking engagements and her research process.
-
26 June 2023Jonathan Frew Appointed New Business Analyst for Ortec FinanceOrtec Finance is pleased to announce the appointment of Jonathan Frew who will be joining as Lead Business Analyst – Investment Performance.