Sharpe Ratio Contribution and Attribution Analysis

8 Pages Posted: 14 May 2011 Last revised: 20 May 2011

Date Written: May 12, 2011

Abstract

We consider it essential for investment managers, risk managers and investors to understand contributions to risk-adjusted performance and attribute differences in risk-adjusted performance, between portfolios to investment decisions on the level of meaningful portfolio segments. Recent advances in risk-adjusted performance analysis have made Sharpe Ratio contribution and attribution possible, filling an empty slot in the toolkit of portfolio analysts. In our research note, we do propose and discuss two methods to analyze contributions to Sharpe Ratio and we attribute Sharpe Ratios differences to meaningful management decisions.

Keywords: Sharpe Ratio, Contribution, Attribution, Risk-Adjusted Performance, Portfolio Analysis

Suggested Citation

Steiner, Andreas, Sharpe Ratio Contribution and Attribution Analysis (May 12, 2011). Available at SSRN: https://ssrn.com/abstract=1839166 or http://dx.doi.org/10.2139/ssrn.1839166

Andreas Steiner (Contact Author)

Andreas Steiner Consulting GmbH ( email )

Walderstrasse 43c
Hinwil, 8340
Switzerland

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