Attribution of Long–Short Funds

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Investment Performance Measurement Feature Articles
May 2009 | Vol. 2009 | No. 1
Source: CFA Institute
Paul Copplestone

Abstract

In current practice, long–short attribution typically lies in the absolute return contribution space, with most analysis simply calculating how much the fund made from long and short investments. Although the results of such analyses look fairly simple, several complications must be addressed — the main one being how to classify long and short positions.

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Topics
Alternative Investments
    :
  • Hedge Funds
|
Performance Measurement and Evaluation
    :
  • Return Measures (Arithmetic, Geometric, Time Weighted, Dollar Weighted)
|
Portfolio Management
    :
  • Alternative Investment Portfolio Management Strategies
  • ·
  • Performance Measurement, Attribution, and Appraisal
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