A Unified Approach to Performance Attribution

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

Abstract

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.

Keywords

Cash Flow Excess Return Asset Allocation Capital Asset Price Model Asset Class 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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