Performance Attribution: Measuring Dynamic Allocation Skill
Posted: 11 Dec 2010
Date Written: December 8, 2010
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
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