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Abnormal Returns 2: Returns for Short Positions and Portfolios

Carl Bacon, CIPM
StatPro Chief Advisor
 
Ian Thompson PhD
Global Director of Portfolio Analytics, StatPro
 
Pierre van der Westhuizen
Product Manager (Head of Performance), Revolution Performance, StatPro
 
24 January 2019
 

Download our latest whitepaper and find out why:  

  • Returns should be presented in the context of market value
  • Simply switching the sign of a return will not always work
  • Short positions, derivative instruments, and time leverage cause negative market values
  • The Brinson model is such a robust method of performance attribution