Advances in Portfolio Management: On-Platform Performance Attribution

4 Pages Posted: 10 Jan 2023 Last revised: 14 Apr 2023

Date Written: January 10, 2023

Abstract

This essay (a) exposes our experience at asset managers around performance attribution; (b) proposes a new way to extract the main strategies that are ultimately responsible for the dynamics of the portfolio and can become a best practice to attribute performance by design for those agents with end-to-end algorithmic technology; and (c) discusses a surprising convergence across finance players upon this Algorithmization process.

Keywords: Portfolio Management, Risk Management, Asset Management, Algorithmics, Algorithmization, Digitalization, Platforms, Innovation

JEL Classification: G11, G32

Suggested Citation

Alvarez-Teleña, Sergio and Díez-Fernández, Marta, Advances in Portfolio Management: On-Platform Performance Attribution (January 10, 2023). Available at SSRN: https://ssrn.com/abstract=4321552 or http://dx.doi.org/10.2139/ssrn.4321552

SciTheWorld ( email )

Spain

Marta Díez-Fernández

SciTheWorld ( email )

Madrid
Spain

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
146
Abstract Views
443
Rank
365,293
PlumX Metrics