Tag Archives: research

How Quants Choose Technology

As a former buy-side-ish quant, I think we are terrible customers for builders and sellers of analytical tools. Quants are smart enough that proof-by-intimidation doesn’t work. What’s worse, quants are very particular and very peculiar in their needs. You built … Continue reading

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Multiperiod Attribution

As we saw in my previous post on performance attribution, the returns of a quantitative portfolio that is a the result of a factor model can be decomposed via straightforward regression analysis of the asset returns on the alpha factors … Continue reading

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Performance Attribution Revisited

Analyzing the performance of an investment strategy is an integral part of the investment process. Systematic decomposition of investment performance began with a seminal study by Brinson, Hood, and Beebower (BHB) where they breakdown a portfolio’s returns into several parts … Continue reading

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