A Geometric Methodology for Performance Attribution

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How much did my manager contribute to my portfolio return?  The question is at the root of today’s focus on performance attribution.  This author proposes a framework for decomposing portfolio return, whether actively or passively managed, and rendering its decision-based components.  To his credit, the author has taken into account the wealth of recent academic discussion on this topic, including several articles published in this Journal.

Author: Andrew McLaren

How much did my manager contribute to my portfolio return?  The question is at the root of today's focus on performance attribution.  This author proposes a framework for decomposing portfolio return, whether actively or passively managed, and rendering its decision-based components.  To his credit, the author has taken into account the wealth of recent academic discussion on this topic, including several articles published in this Journal.

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The Journal of Performance Measurement

The Performance Measurement Resource.

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