Performance Attribution of Money-Weighted Return without Rebalancing to Strategy Allocation
$25
Performance Attribution of Money-Weighted Return without Rebalancing to Strategy Allocation
Rafael Bischof, Cantaluppi & Hug
Laurent Cantaluppi, Cantaluppi & Hug and
Regula Walser, Cantaluppi & Hug
The analysis of the management style of an investment portfolio is typically carried out with performance attribution. The traditional performance attribution model, however, has weaknesses or at least some traits that do not entirely correspond to the behavior of asset managers or to the expectations of investors. We suggest a more intuitive tool to assess “What has the asset manager done for us?” We compare the effective performance of the investment with the “do nothing” performance, which would have been achieved if no investment decision had been taken during the time period under scrutiny.
Performance Attribution of Money-Weighted Return without Rebalancing to Strategy Allocation
Rafael Bischof, Cantaluppi & Hug
Laurent Cantaluppi, Cantaluppi & Hug and
Regula Walser, Cantaluppi & Hug
The analysis of the management style of an investment portfolio is typically carried out with performance attribution. The traditional performance attribution model, however, has weaknesses or at least some traits that do not entirely correspond to the behavior of asset managers or to the expectations of investors. We suggest a more intuitive tool to assess “What has the asset manager done for us?” We compare the effective performance of the investment with the “do nothing” performance, which would have been achieved if no investment decision had been taken during the time period under scrutiny.
