Institutional Portfolio Attribution: A Brinson Attribution Extension
18 Pages Posted: 1 May 2014
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: Suggested Citation