Uncategorised posts

Performance attribution using a decision hierarchy approach

The increasingly dynamic nature of asset allocation and the combination of internal and external management within pension funds requires a performance evaluation model for deeper insight of the organisation’s results.

Elske van de Burgt from Ortec Finance and research associate with the EDHEC-Risk Institute, and Lucas Vermeulen from Ortec Finance argue the Investment Decision Process model developed by Ortec Finance in conjunction with a large Dutch pension scheme, tackles the problems the performance attribution model developed by Brinson et al can’t. They analyse how it provides a generic approach to evaluating investment performance that applies to virtually all asset classes and investment styles.




Join the discussion