Publications

Strategic Asset Allocation & Risk Attribution

Strategic asset allocation & risk attribution

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In this article, we propose a model for risk attribution that explains the difference between the risk of a portfolio and its strategic asset allocation.
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Performance Attribution for Portfolios that Trade Futures Contracts

Performance attribution for portfolios that trade future contracts

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In this article, we propose an attribution model for a leveraged or hedged portfolio that is in line with Brinson et al.
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Climate Risk and Carbon Neutral Performance Attribution

Climate risk and carbon neutral performance attribution

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In this paper, we propose a method to assess the climate risk of a portfolio, and the contribution of each portfolio component to this risk.
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Risk Attribution

Risk attribution

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In this article, we propose a methodology to measure the effective contribution to the total risk and to the tracking error due to asset allocation or selection.
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