Risk-Adjusted Performance Attribution

$25

Author: Jose Menchero

This article presents an approach for attributing the risk-adjusted performance, as given by the information ratio, to a set of investment decisions. The portfolio information ratio is shown to be the weighted average of the component information ratios. The relevant weights, however, are the risk weights and not the investment weights. The component information ratios are given by the stand-alone information ratios scaled by an inflation factor due to diversification.

 

Risk-Adjusted Performance Attribution

Free Subscription!

The Journal of Performance Measurement

The Performance Measurement Resource.

Click to Subscribe