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- W4232783270 abstract "Factor-based performance attribution is frequently used in the asset management industry in both understanding and assessing the management of a portfolio. Unfortunately, in many cases the inferences from a standard attribution report can be misleading. One cause of this is the misclassification of factor contributions as asset-specific contributions or vice versa, due to missing factors or biased factor exposure estimates. The authors propose an adjusted factor-based performance attribution methodology that corrects for some types of biases by shifting the portion of the asset-specific contribution that is correlated with the factor contributions back into the factor portion. The authors find that, from a practical perspective, the proposed methodology results in more intuitive attributions that provide stronger support of factor-based investment mandates. <b>TOPICS:</b>Analysis of individual factors/risk premia, manager selection, portfolio management/multi-asset allocation" @default.
- W4232783270 created "2022-05-12" @default.
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- W4232783270 date "2016-05-31" @default.
- W4232783270 modified "2023-10-14" @default.
- W4232783270 title "Adjusted Factor-Based Performance Attribution" @default.
- W4232783270 doi "https://doi.org/10.3905/jpm.2016.42.5.067" @default.
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