Incorporating Transaction Cost Measurement into Performance Attribution

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The author proposes a method, for including transaction cost measurement in performance attribution, which measures “implicit” transaction costs, such as market impact, as well as “explicit” transaction costs, such as brokerage fees. He begins by describing how to implement the method in a stock-level attribution and moves on to show how the method can be extended to the Brinson and other models.

Author: Damien Laker

The author proposes a method, for including transaction cost measurement in performance attribution, which measures "implicit" transaction costs, such as market impact, as well as "explicit" transaction costs, such as brokerage fees. He begins by describing how to implement the method in a stock-level attribution and moves on to show how the method can be extended to the Brinson and other models.

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