$25.00
A central tenet in the theory and application of performance attribution is that the attribution model must reflect the investment decision-making process. In the sector-based model of Brinson-Fachler (1985), the Active Return is decomposed into an Allocation Effect and a Selection Effect.
Author: Jose Menchero Ph.D.
Description
A central tenet in the theory and application of performance attribution is that the attribution model must reflect the investment decision-making process. In the sector-based model of Brinson-Fachler (1985), the Active Return is decomposed into an Allocation Effect and a Selection Effect. The Allocation Effect, also known as Sector Selection, measures the value added (or subtracted) through over-weighting or under-weighting individual sectors. The Selection Effect, also known as Issue Selection, measures the value added (or subtracted) by weighting securities within a sector differently than the benchmark.
Nested Performance Attribution
Related products
-
A Hierarchy of Methods for Calculating Rates of Return
$25.00 Add to cart -
“A Call to Arms!” The Next Frontier for Taxable Accounts-After- tax Return Performance Attr
$25.00 Add to cart -
A Fully Geometric Approach to Performance Attribution
$25.00 Add to cart -
A Model for a Global Investment Attribution Analysis
$25.00 Add to cart