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Performance Attribution: Measuring Dynamic Allocation Skill
DOI:10.2469/faj.v66.n6.3.png)
Abstract
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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