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- W287710278 abstract "We extend the Brinson et al. (1986) performance attribution framework to support institutional-specific requirements, including a hierarchical structure and multiple benchmark styles. By attributing performance to four statistics (e.g. manager alpha, portfolio construction, tactical and strategic), we are able to remove the interaction term, which is a commonly referred to shortcoming of Brinson attribution. We subsequently modify Frongello (2002) linking to produce pro-rated multiperiod attributes which sum to meaningful statistics using notional portfolios of multitier excess returns." @default.
- W287710278 created "2016-06-24" @default.
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- W287710278 date "2013-01-01" @default.
- W287710278 modified "2023-09-24" @default.
- W287710278 title "Institutional Portfolio Attribution: A Brinson Attribution Extension" @default.
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- W287710278 doi "https://doi.org/10.2139/ssrn.2431010" @default.
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