Machine Learning and Portfolio Performance Analysis

Attribution analysis of portfolios typically aims to discover the impact that a portfolio manager’s investment choices and strategies had on overall profitability. They can help determine whether success was the result of an educated choice or simply good luck. Usually a benchmark is chosen and the portfolio’s performance is assessed relative to it. This post, however, considers the question of whether a non-referential assessment is possible. That is, can we deconstruct and assess a portfolio’s performance without employing a benchmark? Such an analysis would require access to historical return as well as the portfolio’s weights and perhaps the volatility of interest rates, if some of the components exhibit a dependence on them. This list of required variables is by no means exhaustive. ShareTweetShare+1

Portfolio Analytics Risk Service: Vendor Considerations

There is movement in the vendor market for Risk Analytics. Barclays is divesting its POINT risk analytics system and Capital IQ has exited the risk business. These changes have prompted the market to consider vendor alternatives and the timing for a fresh look at solutions couldn’t be better. The regulatory environment persists. There is a constant stream of demand from investors and regulators for independent risk analysis and reporting. Further, the emergence of new data management tools and the declining cost of cloud-managed hardware presents the market with an opportunity to scale data processing and reduce costs.  ShareTweetShare+1