Decision-Based Evaluation of the Performance of a Hierarchically Structured Investment Process

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What calculation method is your performance attribution system based on? The authors say it’s most likely one developed by Brinson and Fachler, Allen, or Karnosky and Singer. However, these methods aren’t always the best choice, say the authors, because they “do not follow the investment decision process exactly.” As you might suspect, they have their own model to offer–The Investment Decision Process Model.

Authors: Elske van de Burgt, Jeroen Geenan, Mark Heemskerk, and Michiel Heerema, Ph.D.

What calculation method is your performance attribution system based on? The authors say it's most likely one developed by Brinson and Fachler, Allen, or Karnosky and Singer. However, these methods aren't always the best choice, say the authors, because they "do not follow the investment decision process exactly." As you might suspect, they have their own model to offer--The Investment Decision Process Model.

 

Decision-Based Evaluation of the Performance of a Hierarchically Structured Investment Process

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