tag:blogger.com,1999:blog-2568941354104807757.post5927981684307244901..comments2023-10-05T09:07:24.225-04:00Comments on Investment Performance Guy: Jane Austen's guidance on risk managementDave Spauldinghttp://www.blogger.com/profile/01777929408680234896noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-2568941354104807757.post-83096579421497498642011-02-22T12:39:22.621-05:002011-02-22T12:39:22.621-05:00Andre, interesting point. As you no doubt know, ri...Andre, interesting point. As you no doubt know, risk attribution isn't nearly as commonly used as return attribution. I agree that there is definite justification for its employment, however, and that tying it into the return side has value.Dave Spauldinghttps://www.blogger.com/profile/01777929408680234896noreply@blogger.comtag:blogger.com,1999:blog-2568941354104807757.post-47121350988425012592011-02-22T12:28:50.028-05:002011-02-22T12:28:50.028-05:00Thanks, William! Unexpected but useful for a blog ...Thanks, William! Unexpected but useful for a blog post!Dave Spauldinghttps://www.blogger.com/profile/01777929408680234896noreply@blogger.comtag:blogger.com,1999:blog-2568941354104807757.post-83997924061345153892011-02-22T11:33:02.948-05:002011-02-22T11:33:02.948-05:00Dave,
This is exactly why it is so difficult to de...Dave,<br />This is exactly why it is so difficult to defend the common practice of considering performance attribution without simultaneously considering its parallel risk attribution. Modern Portfolio Theory explicitly warns against the myopic approach of not weighing the risk when considering any expected benefits.<br />So if I evaluate the amount that a decision contributed to my active return without also evaluating how much that same decision contributed to my active risk, then I will be left completely ignorant as to whether the temptation was adequate to the risk.<br />AndreAndrehttps://www.blogger.com/profile/10472810725151364022noreply@blogger.comtag:blogger.com,1999:blog-2568941354104807757.post-7645130915977913192011-02-22T09:57:31.584-05:002011-02-22T09:57:31.584-05:00Hi Dave, very nice find from the literature -- yes...Hi Dave, very nice find from the literature -- yes indeed...McKibbinUSAhttps://www.blogger.com/profile/10545798495680527622noreply@blogger.com