250 CHAPTER ◆ 2 7 Define Performance Controls
Think again of the world of NASCAR. In the old days, only one thing mattered: track
time. In the competitive world of racing today, hundreds of performance outputs are mea-
sured and optimally adjusted to conditions in real time. After a race, the outputs and the
team results are mined to understand the performance of the car under differing conditions
and environments. The racing team gains knowledge through research and implements that
knowledge in the next race and in next year ’ s race at the same track. To beat the competition,
the skill of the driver is important, but the continuous improvement of the car is critical.
Management of working trading/investment systems is no different.27.4.1. Best Practices
● Benchmark unique performance metrics for every system.
● Use the Brinson–Fachler model for attribution.
● Follow CFAI/GIPS/NAPF guidelines.
● Store all system outputs for SPC analysis and data mining.
● Use Monte Carlo simulations to analyze what-if scenarios; part of the continuous
improvement processes.