$25.00
Performance attribution is a powerful and widely used tool for evaluating portfolio performance relative to a benchmark. Up until now, attribution methodologies have only considered long positions. The approach described in this paper is based on explicit treatment of the cash positions as well as independent analysis of the long and short sides of each sector. The resulting methodology provides a means of evaluating manager performance for strategies that utilize short positions, such as market-neutral hedge funds.
Author: Jose G. Menchero
Description
Performance attribution is a powerful and widely used tool for evaluating portfolio performance relative to a benchmark. Up until now, attribution methodologies have only considered long positions. The approach described in this paper is based on explicit treatment of the cash positions as well as independent analysis of the long and short sides of each sector. The resulting methodology provides a means of evaluating manager performance for strategies that utilize short positions, such as market-neutral hedge funds.
Related products
-
A Consistent Linking Concept for Fast Calculations of the Rate of Return and Research of Investment
$25.00 Add to cart -
A Geometric Methodology for Performance Attribution
$25.00 Add to cart -
A Conceptual Framework for the Development and Verification of Attribution Models
$25.00 Add to cart -
A Jigsaw Puzzle of Basic Risk-adjusted Performance Measures
$25.00 Add to cart