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Nancy Roth

Research and Insights

Articles by Nancy Roth

    Performance Attribution of Multi-Asset Class Portfolios using BarraOne

    Research Report | Jun 19, 2015 | Nancy Roth, Nicholas Sharp

    This paper focuses on BarraOne’s Performance Analytics solution and describes how we have modified standard performance attribution tools to address several interesting use cases which arise for increasingly popular multi-asset class investment strategies. The paper illustrates, through a practical case study, how the Visualization tool within the BarraOne Performance Analytics solution can be employed to understand the performance due to the allocation of capital both across different...