Performance Attribution: History and Progress

2019 ◽  
Author(s):  
Carl R. Bacon
Keyword(s):  
Performance Attribution

Performance Attribution for Real Estate Portfolios

1995 ◽  
Vol 1995 (3) ◽  
pp. 133-137, 139-140
Author(s):  
Nori Gerardo
Keyword(s):  
Real Estate ◽  
Performance Attribution

A Simplified Fixed Income Performance Attribution Model

CFA Digest ◽  
2014 ◽  
Vol 44 (11) ◽  
Author(s):  
Sandra Krueger
Keyword(s):  
Fixed Income ◽  
Performance Attribution

scholarly journals Portfolio Optimization Constrained by Performance Attribution

2021 ◽  
Vol 14 (5) ◽  
pp. 201
Author(s):  
Yuan Hu ◽  
W. Brent Lindquist ◽  
Svetlozar T. Rachev
Keyword(s):  
Portfolio Optimization ◽  
Asset Allocation ◽  
Value At Risk ◽  
Risk Measures ◽  
Risk Measure ◽  
Selection Effect ◽  
Conditional Value At Risk ◽  
Positive Role ◽  
Performance Attribution ◽  
Dow Jones Industrial Average

This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two performance attributes, asset allocation (AA) and the selection effect (SE), as constraints on asset weights. The test portfolio consists of stocks from the Dow Jones Industrial Average index. Values for the performance attributes are established relative to two benchmarks, equi-weighted and price-weighted portfolios of the same stocks. Performance of the optimized portfolios is judged using comparisons of cumulative price and the risk-measures: maximum drawdown, Sharpe ratio, Sortino–Satchell ratio and Rachev ratio. The results suggest that achieving SE performance thresholds requires larger turnover values than that required for achieving comparable AA thresholds. The results also suggest a positive role in price and risk-measure performance for the imposition of constraints on AA and SE.

Towards the Next Generation of Performance Attribution for Institutional Investment Management

2013 ◽  
Author(s):  
Leo de Bever ◽  
Jagdeep Singh Bachher ◽  
Roman Chuyan ◽  
Ashby H. B. Monk
Keyword(s):  
Next Generation ◽  
Investment Management ◽  
Institutional Investment ◽  
Performance Attribution

Comparing Performance Attribution Linking Methods: An Empirical Study

2014 ◽  
Author(s):  
Yindeng Jiang ◽  
Joseph F Saenz
Keyword(s):  
Empirical Study ◽  
Performance Attribution

Performance Attribution Measure

2015 ◽  
Author(s):  
Margaret Y. Padgett ◽  
Robert J. Padgett ◽  
Kathryn A. Morris
Keyword(s):  
Performance Attribution

Performance Attribution

2016 ◽  
pp. 301-323
Author(s):  
Maria Debora Braga
Keyword(s):  
Performance Attribution

Multi-Period Performance Attribution: A Refreshing Perspective

2005 ◽  
Author(s):  
Sebastien Gyger
Keyword(s):  
Performance Attribution ◽  
Period Performance

A generic framework for monetary performance attribution

2019 ◽  
Vol 105 ◽  
pp. 121-133
Author(s):  
Jörgen Blomvall ◽  
Johan Hagenbjörk
Keyword(s):  
Performance Attribution ◽  
Generic Framework
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