Advances in Portfolio Management: On-Platform Performance Attribution

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