Reconciling Returns-Based and Holdings-Based Analyses
Wells Fargo Funds Management
December 24, 2009
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, G11working papers series
Date posted: December 26, 2009
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