Investment Ideas for Asset Allocators – allocatoR

Tracking Error

tracking error

risk budget

benchmark

active risk

Tracking error is a useful and widely used risk measure to quantify how different a portfolio is compared to its benchmark. The common text book definition of TE = the…

PCA to Measure Diversification

diversification

portfolio

PCA

asset allocation

clustering around latents

clustering

latents

dimensionality reduction

Principal Component Analysis (PCA) is a useful tool for measuring the diversification potential of an asset or group of assets within a portfolio. PCA is also a…

Style Analysis

style analysis

return-based analytics

consistancy

manager research

Style analysis is a great tool to see how consistent managers have been in their investment approach.

Welcome To AllocatoR

news

Welcome to AllocatoR, a website containing posts on investment research and management ideas. Each post will contain reproducable R code to demonstrate how to implement the…

Asset Allocation / Manager Selection Attribution

attribution

model

portfolio

analysis

manager research

asset allocation

This post will present a practitioner’s approach to analyzing asset allocation vs. manager selection effects on performance relative to the benchmark. The type of return…