Reconciling Returns-Based and Holdings-Based Analyses

Jacobsen, Brian

doi:10.2139/ssrn.1528004

Abstract

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Reconciling Returns-Based and Holdings-Based Analyses

Brian Jacobsen

Wells Fargo Funds Management

December 24, 2009

Abstract:
Two popular ways to measure a manager’s performance relative to a benchmark are attribution analysis - based on portfolio holdings and style analysis - based on portfolio returns. An econometric method is proposed that helps reconcile their results and overcomes the limitations of attribution and style analysis as it is commonly implemented. The key is to recognize the difference between "excess returns," and "alpha."

Number of Pages in PDF File: 11

Keywords: returns based style analysis, attribution analysis, performance analysis, alpha

JEL Classification: G00, G11

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Date posted: December 26, 2009

Suggested Citation

Jacobsen, Brian, Reconciling Returns-Based and Holdings-Based Analyses (December 24, 2009). Available at SSRN: http://ssrn.com/abstract=1528004 or http://dx.doi.org/10.2139/ssrn.1528004

Contact Information

Brian Jacobsen (Contact Author)

Wells Fargo Funds Management ( email )

MAC N9882-014
100 Heritage Reserve
Menomonee Falls, WI 53151
United States
414-359-3938 (Phone)
414-359-3535 (Fax)