Performance Attribution and the Fundamental Law

faj.v61.n5
  1. Poor
  2. Satisfactory
  3. Good
  4. Very Good
  5. Excellent

Be the first. (0 ratings)

Financial Analysts Journal
September 2005 | Vol. 61 | No. 5 | 13 pages
Source: CFA Institute
Roger Clarke Harindra de Silva, CFA Steven Thorley, CFA

US$0.00 Member | US$0.00 Candidate | US$0.00 Nonmember

Read

Summary

The reported study operationalized the “fundamental law of active management” in the context of a factor-based performance attribution system. The system incorporates factor payoffs in the linear regression framework that many portfolio managers and external reviewers use to judge what is being rewarded in the market. The study indicates that parameters of the fundamental law can be used to approximate and interpret the results of the regression-based performance attribution system. The procedure is illustrated by the use of security holdings, returns, and factor exposure data for two portfolios benchmarked to the S&P 500 Index for April 1995 to March 2004.

View more information

Topics
Alternative Investments
    :
  • Hedge Funds
|
Portfolio Management
    :
  • Alternative Investment Portfolio Management Strategies
  • ·
  • Equity Portfolio Management Strategies
  • ·
  • Portfolio Construction and Revision
Credits · About the CE Program
1 CE (including 0 SER) Manage CE Credits

People who viewed this page also viewed:

Publications
Article
Interpreting Performance Attribution
CFA Institute: Investment Performance Measurement Feature Articles

Loading ...