Institutional Portfolio Attribution: A Brinson Attribution Extension

18 Pages Posted: 1 May 2014

See all articles by Yindeng Jiang

Yindeng Jiang

University of Washington Investment Management Company

Garth Reistad

University of Washington - Investment Management

Joseph Saenz

University of Washington - Investment Management

Date Written: September 1, 2013

Abstract

We extend the Brinson et al. (1986) performance attribution framework to support institutional-specific requirements, including a hierarchical structure and multiple benchmark styles. By attributing performance to four statistics (e.g. manager alpha, portfolio construction, tactical and strategic), we are able to remove the interaction term, which is a commonly referred to shortcoming of Brinson attribution. We subsequently modify Frongello (2002) linking to produce pro-rated multiperiod attributes which sum to meaningful statistics using notional portfolios of multitier excess returns.

Keywords: Attribution, Alpha, Institutional Portfolios, Endowments, Active Management, Asset Allocation

JEL Classification: G11, G2, G23

Suggested Citation

Jiang, Yindeng and Reistad, Garth and Saenz, Joseph, Institutional Portfolio Attribution: A Brinson Attribution Extension (September 1, 2013). Available at SSRN: https://ssrn.com/abstract=2431010 or http://dx.doi.org/10.2139/ssrn.2431010

Yindeng Jiang

University of Washington Investment Management Company ( email )

Seattle, WA 98195
United States

Garth Reistad

University of Washington - Investment Management ( email )

Seattle, WA 98195
United States

Joseph Saenz (Contact Author)

University of Washington - Investment Management ( email )

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