JPM: risk statistics in performance calculators – suitable and scalable?

Investment performance and risk calculators have witnessed steady growth in functionality during the past couple of decades. Leveraging huge data management platforms that contain exception management and workflow capabilities, calculators provide upstream integration capabilities.

By expanding calculation breadth to include attribution effects and risk statistics, they are knocking on front office doors. As vendor consolidation occurs and performance systems endeavor to deliver one-stop solutions, it is important to understand design mechanisms related to each functionality that drive system efficiences.

A recent paper published by The Journal for Performance Measurement examines returns and ex-post risk statistics.

Read the full paper

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