Analysis of attribution selection techniques

Reflective of current investment opinions Specified in advance History[ edit ] Ina working group of the Society of Investment Analysts UK published a paper about analysing the performance of investment portfolios. This paper, although never verified, claims to have introduced the key concept in performance attribution, that active performance can be analysed by comparing the returns of different notional portfolios.

Analysis of attribution selection techniques

Reflective of current investment opinions Specified in advance History[ edit ] Ina working group of the Society of Investment Analysts UK published a paper about analysing the performance of investment portfolios. This paper, although never verified, claims to have introduced the key concept in performance attribution, that active performance can be analysed by comparing the returns of different notional portfolios.

Analysis of attribution selection techniques

In particular, if one examines the performance of a portfolio that holds each sector at the active weight, while earning a passive return within each sector, one can measure exactly the amount of value that is added by asset allocation decisions.

The paper, if in fact it exists, introduced the key elements of modern performance attribution: The perhaps fictional paper presents this analytic paradigm as an extension of previously known concepts.

Since it was not an academic publication, it did not claim novelty, even though the approach introduced was new and novel. An excerpt from the fictional paper reads: The working group recommend that the notional fund concept be extended to cover the whole fund, i.

The paper is ignored, because there is not any evidence that it was actually published and may be a fictional creation, by many of the standard texts on performance attribution for example Spaulding Brinson 's Brinson et al.

For this reason, many of the standard texts e. Spaulding correctly acknowledge their work and devote copious numbers of pages to "Brinson Fachler attribution" pp. The Brinson-Fachler methodology underpins many public performance attribution analyses.

Analysis of attribution selection techniques

Morningstar, for example, includes a whitepaper [2] on their mode of employing the Brinson-Fachler methodology. Morningstar is known for its analysis of long-only mutual funds, but the Brinson-Fachler analysis is also applicable to hedge ranking funds.

It is arithmetic in the sense that it describes the difference between the portfolio return and the benchmark return. In Europe and the UK, another approach known as geometric attribution has been common.

Adherents of the geometric approach consider it to be highly intuitive. See, for example, Bacon However, not everybody agrees on this. One advantage of doing attribution in geometric form is that the attribution results translate consistently from one currency to another. It is plausible that this explains the popularity of geometric approaches in Europe.

Another reason for using geometric attribution is that it is theoretically sound for both single period and multi period analyses, for arithmetic attribution additional "smoothing" is required to apply it to a multi period setting.

The stated benchmark may not be appropriate or may change over time "Style Drift. Proponents of adaptive benchmarking maintain that by understanding the characteristics of the portfolio at each point in time, they can better attribute excess returns to skill.

For complex or dynamic portfolios, risk-based profit attribution may have some advantages over methods which rely only on realized performance.

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This may be the case for some hedge fund strategies.One of the most widely used attribution models is the Brinson model, which examines performance in terms of allocation decisions (returns based on sector or asset weighting) and individual security selection decisions.

Attribution Methods and Models: A Marketer’s Framework By John Lovett, Web Analytics Demystified, Inc. Web Analytics Demystified defines Marketing Attribution as: The process of quantifying the impact of accomplished by doing a basic analysis of your existing website data.

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What is 'Attribution Analysis'

Fixed Income Attribution Analysis Role of Attribution in the Investment Process Performance Summary of Strategy, Trading & Markets: Provides feedback on management decisions & portfolio risk Attribution Measure Selection Strategy Variables Attribution Factors Total Return.

Heider proposed that a process of attribution is involved in person perception as well, but he recognized that person perception is more (i.e., attributional) analysis of human behavior, their judgments of causality follow one of Attribution Theories: How People Make Sense of .

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Attribution Analysis