Arno Weber discusses methods for measuring the contribution of risk decisions in performance attribution, offering deeper insights into how investment decisions affect overall performance.
Investment decisions alter a portfolio's risk profile, typically by design. A manager making an active investment decision anticipates that adjusting the portfolio's risk level will ultimately yield positive results.
In its Winter edition, The Journal of Performance Measurement from the Spaulding Group features an article by Arno Weber of Ortec Finance. This article introduces an enhancement to traditional performance attribution methods, explicitly measuring the impact of risk decisions.
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