Liability-driven Performance Attribution

Performance attribution

PERFORMANCE ATTRIBUTION FOR EQUITY PORTFOLIOS Performance Attribution for Equity Portfolios

Many portfolio managers measure performance with reference to a benchmark. The difference in return between a portfolio and its benchmark is the active return of the portfolio. Portfolio managers and their clients want to know what caused this active return. Performance attribution decomposes the active return. The two most common approaches are the Brinson-Hood-Beebower (hereafter referred to ...

A Blockchain Based Liability Attribution Framework for Autonomous Vehicles

The advent of autonomous vehicles is envisaged to disrupt the auto insurance liability model. Unlike the current model, wherein in the event of an accident, the liability is largely attributed to the driver, autonomous vehicles necessitate the consideration of other entities in the automotive ecosystem such as the auto manufacturer, software provider, service technician and the vehicle owner fo...

Attribution of Liability: An Economic Analysis of Various Cases

Derivatives Performance Attribution

This paper shows how to decompose the dollar profit earned from an option into two basic components: ¶ mispricing of the option relative to the asset at the time of purchase, and · profit from subsequent fortuitous changes or mispricing of the underlying asset. This separation hinges on measuring the “true relative value” of the option from its realized payoff. The payoff from any one option ha...