Expanding and Combining Attribution and Analytics Systems

Expanding and Combining Attribution and Analytics Systems

• Associate Professor of Finance Ricky Cooper

Abstract:

Attribution is a common methodology in portfolio management for examining what decisions generated return, risk, and risk-adjusted performance in a fund. Analytics is a regression-based framework for this purpose along the lines of Fama and French, etc. Attribution is virtually unknown in academics. Analytics has recently made inroads in professional money management but often produces counterintuitive, spurious, and contradictory results. Recently, I finished consulting for a major investment management firm to extend their attribution models in ways they haven't been done before, and along the way I gained insights into how attribution may be brought to academics and analytics rationalized for the industry. This should lead to research ideas which I plan to present.

 

All Illinois Tech faculty, students, and staff are invited to attend.

The Friday Research Presentations series showcases ongoing academic research projects conducted by Stuart School of Business faculty and students, as well as guest presentations by Illinois Tech colleagues, business professionals, and faculty from other leading business schools.

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