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Performance Attribution: Measuring Dynamic Allocation Skill

delete2018-12-31
delete11
PRE
AI
J
Jason C. Hsu *
V
Vitali Kalesnik
B
Brett W. Myers
DOI:10.2469/faj.v66.n6.3delete
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摘要

摘要

En 中文
Classical performance attribution methods do not explicitly assess managers' dynamic allocation skill in the factor domain. The authors propose a generalized framework for performance attribution that decomposes the allocation effect into value added from both static and dynamic factor exposures and thus yields additional insight into sources of manager alpha.
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F
Financial Analysts Journal
IF:
2.2
论文数:
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被引数:
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U
university of california los angeles
学者数:
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论文数: 4.2W
被引数: 89
R
research affiliates llc
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16
论文数: 12
被引数: 0
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University of California System
学者数:
37.5W
论文数: 33.7W
被引数: 6.6K
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