Performance Attribution: Measuring Dynamic Allocation Skill

Posted: 11 Dec 2010

See all articles by Jason C. Hsu

Jason C. Hsu

Rayliant Global Advisors; Research Affiliates, LLC; University of California, Los Angeles - Anderson School of Business

Vitali Kalesnik

Research Affiliates LLC

Brett W. Myers

Texas Tech, Rawls College of Business

Multiple version iconThere are 2 versions of this paper

Date Written: December 8, 2010

Abstract

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.

Keywords: Performance Measurement and Evaluation, Peer Group Comparisons, Tactical Asset Allocation, Performance, Performance Attribution, Measuring Manager Skill

Suggested Citation

Hsu, Jason C. and Kalesnik, Vitali and Myers, Brett W., Performance Attribution: Measuring Dynamic Allocation Skill (December 8, 2010). Financial Analysts Journal, Vol. 66, No. 6, 2010. Available at SSRN: https://ssrn.com/abstract=1722358

Jason C. Hsu (Contact Author)

Rayliant Global Advisors ( email )

Hong Kong

Research Affiliates, LLC ( email )

620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States

HOME PAGE: http://www.jasonhsu.org

University of California, Los Angeles - Anderson School of Business

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

Vitali Kalesnik

Research Affiliates LLC ( email )

620 Newport Center Dr
Ste 900
Newport Beach, CA 92660
United States
949-325-8717 (Phone)
949-325-8917 (Fax)

HOME PAGE: http://researchaffiliates.com/index.htm

Brett W. Myers

Texas Tech, Rawls College of Business ( email )

Lubbock, TX 79407
United States

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