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.
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