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Performance Attribution: History and Progress
Carl R. Bacon
出版CFA Institute Research Foundation, 2019-12-23
主題Business & Economics / General
ISBN19449609029781944960902
URLhttp://books.google.com.hk/books?id=N5bIDwAAQBAJ&hl=&source=gbs_api
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註釋The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.