Koncz, Imre
(BlackRock)
Factor models and
performance attribution
Understanding the returns of financial assets and portfolios is crucial
especially for performance attribution, where the realized performance is seen
from several angles and broken down to different contributors. We will
introduce the most important methods of performance analysis, including factor
models.
The similarities of the returns of different assets can be attributed to
similarities of industries, styles, size, or other features of the assets. These factors can be
used as explanatory variables which can explain a huge portion of variance of
asset returns. We also aim to give an overview about what is a factor model,
how they are used
in portfolio construction, performance attribution, or alpha generation.
The talk is held in English!
Az előadás
nyelve angol!
Date: Oct 5, Tuesday 4:15pm
Place: BME, Building „Q”, Room
QBF13