Performance Attribution for Portfolios that Trade Futures Contracts

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In this article, we propose an attribution model for a leveraged or hedged portfolio that is in line with Brinson et al.The model takes into account the effect of futures in allocation, displays a selection effect that is due solely to securities and not futures, measures the leverage effect, and, finally, isolates the return that is caused by an imperfect correlation between futures and the underlying asset class.
Philippe Grégoire, Ph.D., Orfival and Yves Hennard, CAIA, Union Bancaire Privee

Performance Attribution for Portfolios that Trade Futures Contracts

In this article, we propose an attribution model for a leveraged or hedged portfolio that is in line with Brinson et al. The model takes into account the effect of futures in allocation, displays a selection effect that is due solely to securities and not futures, measures the leverage effect, and, finally, isolates the return that is caused by an imperfect correlation between futures and the underlying asset class.

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