Reformulating Ankrim’s Risk-Adjusted Performance Attribution

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The approach proposed by Ernest Ankrim (1992) is presented and reformulated in this paper to allow for less rigid assumptions and a different, perhaps more adequate, risk-adjustment of marketing timing.  The modified performance attribution methodology is then used to evaluate the performance of four German institutional funds.

Author: Alexander Obeid, Ph.D., Bank Sarsin Ltd. Co

The approach proposed by Ernest Ankrim (1992) is presented and reformulated in this paper to allow for less rigid assumptions and a different, perhaps more adequate, risk-adjustment of marketing timing.  The modified performance attribution methodology is then used to evaluate the performance of four German institutional funds.

 

Reformulating Ankrim's Risk-Adjusted Performance Attribution.

 

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