A Brinson Model Alternative: an Equity Attribution Model with Orthogonal Risk Attributions

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This paper presents an algorithm for equity attribution that circumvents some of the less intuitive features of the standard Brinson model. The proposed alternative framework provides an unambiguous division of returns by source of risk, in a manner consistent with first-principles interpretation.

Author: Andrew Colin, Ph.D.

This paper presents an algorithm for equity attribution that circumvents some of the less intuitive features of the standard Brinson model. The proposed alternative framework provides an unambiguous division of returns by source of risk, in a manner consistent with first-principles interpretation.

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