WebSeminar – Performance Attribution Wednesday April 29, 2020 3:30PM EDT

     A.  Simple example of the performance attribution problem with correlated inputs: value = xyz

     B.  Other business motivations
               a. Understanding multiperiod hedging strategies
               b. Understanding sources of positive or negative alpha
               c. Understanding the possibility of omitted explanatory factors

     C.  CFI Performance Measures are Daily

     D.  Worked Example, Daily Performance Attribution, XYZ Corporation
               a. Using Ito’s Lemma
               b. Worked example using XYZ Corporation bonds

     E.  Questions 

Performance Attribution
Presented by Donald R. vanDeventer, PhD
Wednesday April 29, 2020