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We usually compute return attribution to know how much each asset contributes to portfolio return. This calculation is quite easy because return formula is linear and sub-additive. In that context, one can split the whole portfolio return in smaller parts corresponding to each asset. However, although risk measures have to be coherent (monotonous, sub-additive, homogeneous […]
In today’s post we will be using AI to improve a module of the Alternative Data-Driven Investment (ADDI) strategy developed by ETS Asset Management Factory, which is an automatic Long – Short investment strategy that aims to obtain stable performance de-correlated from the market and with a limited drawdown risk. This comes after our recent […]
In my post Linking Impact in Divergence Attribution I explained the need to use linking algorithms in order to aggregate single-period returns. I ended my exposition by setting out the formula for adjusted returns using Andrew Frongello’s algorithms (arguably the ones with best qualities in the industry).If you found this final expression of Frongello-adjusted attribution […]