A New Measure of Tactical Allocation Skills in Performance Attribution Analysis

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The emergence of tactical allocation and factor timing strategies has prompted professionals to devise various means of measuring tactical and timing skills.  This paper proposes a new measure, based on the new cash flows into and out of asset segments of the portfolio, which can easily be incorporated into conventional holdings-based or multifactor-based performance attribution systems.

Author: Wenling Lin, Ph.D., Northfield Information Services

The emergence of tactical allocation and factor timing strategies has prompted professionals to devise various means of measuring tactical and timing skills.  This paper proposes a new measure, based on the new cash flows into and out of asset segments of the portfolio, which can easily be incorporated into conventional holdings-based or multifactor-based performance attribution systems.

A New Measure of Tactical Allocation Skills in Performance Attribution Analysis

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