A Unified Approach to Performance Attribution

  • Thomas K. Philips
Part of the Advances in Computational Economics book series (AICE, volume 9)


In this paper, we develop a unified accounting based performance attribution methodology for equity portfolios and asset allocation strategies. Within this framework, we decompose the returns generated by a manager into an index return plus a number of component returns, the components being determined by the manager’s mandate. For example, in attributing the returns of a domestic equity portfolio, we determine the fraction of the manager’s excess return that arises from sector selection, stock selection and an interaction effect that we call sector/stock selection.


Cash Flow Excess Return Asset Allocation Capital Asset Price Model Asset Class 
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Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Thomas K. Philips
    • 1
  1. 1.Paradigm Asset ManagementUSA

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