Active Risk Attribution

6 Pages Posted: 26 Oct 2012 Last revised: 29 Jun 2013

Date Written: October 25, 2012

Abstract

We propose an integrated analysis of portfolio performance and active risk by applying the Brinson approach to Tracking Error and active Beta.

Keywords: portfolio analysis, performance attribution, risk management, Brinson, risk-adjusted performance, beta, tracking error

Suggested Citation

Steiner, Andreas, Active Risk Attribution (October 25, 2012). Available at SSRN: https://ssrn.com/abstract=2166714 or http://dx.doi.org/10.2139/ssrn.2166714

Andreas Steiner (Contact Author)

Andreas Steiner Consulting GmbH ( email )

Walderstrasse 43c
Hinwil, 8340
Switzerland

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