A New Measure of Tactical Allocation Skills in Performance Attribution Analysis
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The emergence of tactical allocation and factor timing strategies has prompted professionals to devise various means of measuring tactical and timing skills. This paper proposes a new measure, based on the new cash flows into and out of asset segments of the portfolio, which can easily be incorporated into conventional holdings-based or multifactor-based performance attribution systems.
Author: Wenling Lin, Ph.D., Northfield Information Services