RT Journal Article
SR Electronic
T1 Practical Applications of Adjusted Factor-Based Performance Attribution
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 3
DO 10.3905/pa.2016.4.2.177
VO 4
IS 2
A1 Robert A. Stubbs
A1 Vishv Jeet
A1 Barbara J. Mack
YR 2016
UL https://pm-research.com/content/4/2/1.12.abstract
AB Adjusted Factor-Based Performance Attribution Robert A. Stubbs Vishv Jeet Factor-based performance attribution seeks to evaluate the components of a portfolio’s return, studying the contribution that each factor makes to the total return. But biases in the analysis can lead to several common errors, such as misclassifying factor returns as asset-specific contributions (or vice versa) or misestimating the actual factor exposure. Robert Stubbs of Axioma and Vishv Jeet of Burgiss have developed a hybrid approach that uses cross-sectional estimates and adjusts them if there is a systematic bias over time. In Adjusted Factor-Based Performance Attribution , Stubbs and Jeet examine the methodology behind performance analytics and explain how their adjusted model can provide deeper insight into the real drivers of investment performance.