Attribution and Analytics: An Integrated Approach

Attribution and Analytics: An Integrated Approach

• Industry Assistant Professor of Management Science Seung Youn Cha and Associate Professor of Finance Ricky Cooper

Abstract:

This research focuses on two main aspects of applied portfolio management. The first is to present a coherent attribution, which is a decision-based model, for portfolio returns not currently present in the literature. The second is to present a framework for integrating this model into the use of statistical analytics, which is present in the literature in the form of factor models. One of the main findings of this research is that using an analytics model by itself is susceptible to drawing incorrect conclusions about manager behavior and the source of their returns.
 

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.