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Monthly Archives: August 2011
Multiperiod Attribution
As we saw in my previous post on performance attribution, the returns of a quantitative portfolio that is a the result of a factor model can be decomposed via straightforward regression analysis of the asset returns on the alpha factors … Continue reading
Posted in Performance Attribution
Tagged alpha, attribution, BHB, multi-factor model, performance, quant, quantitative, regression, research, risk, value added
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Performance Attribution Revisited
Analyzing the performance of an investment strategy is an integral part of the investment process. Systematic decomposition of investment performance began with a seminal study by Brinson, Hood, and Beebower (BHB) where they breakdown a portfolio’s returns into several parts … Continue reading
Posted in Performance Attribution
Tagged alpha, attribution, BHB, multi-factor model, performance, quant, quantitative, regression, research, risk
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