High Frequency Equity Performance Attribution

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Performance Attribution is well established in low frequency equity management as a way to assign the portions of a fund’s return to the distinct decisions the asset manager makes in attempting to achieve this performance. This article extends this idea to provide a workable framework for high frequency equity asset management.

Author: Ricky Cooper, Ph.D., Illinois Institue of Technology and Tingting Li, Illinois Insitute of Technology

Performance Attribution is well established in low frequency equity management as a way to assign the portions of a fund's return to the distinct decisions the asset manager makes in attempting to achieve this performance.  This article extends this idea to provide a workable framework for high frequency equity asset management.  Such a framework must include many features that are not present in the low frequency framework.

 

High Frequency Equity Performance Attribution.

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