What is the common practice and challenge of performing risk and return attribution for alternative investment world? Especially, given the diverse, heterogeneous nature among all the segments (e.g. commodity, PE, Real Estate, HF, etc), do we need to identify segment-specific factors if we need to use multi-factor model? Any input will be appreciated!
Survivorship biased leads to lack of historical information. Also AI returns are extremes.
can u explain why AI returns are extremes? thanks!
Because of higher risks they take.