A Geometric Methodology for Performance Attribution

$25

How much did my manager contribute to my portfolio return?  The question is at the root of today’s focus on performance attribution.  This author proposes a framework for decomposing portfolio return, whether actively or passively managed, and rendering its decision-based components.  To his credit, the author has taken into account the wealth of recent academic discussion on this topic, including several articles published in this Journal.

Author: Andrew McLaren

How much did my manager contribute to my portfolio return?  The question is at the root of today's focus on performance attribution.  This author proposes a framework for decomposing portfolio return, whether actively or passively managed, and rendering its decision-based components.  To his credit, the author has taken into account the wealth of recent academic discussion on this topic, including several articles published in this Journal.