High Frequency Equity Performance Attribution
$25
Performance Attribution is well established in low frequency equity management as a way to assign the portions of a fund’s return to the distinct decisions the asset manager makes in attempting to achieve this performance. This article extends this idea to provide a workable framework for high frequency equity asset management.
Author: Ricky Cooper, Ph.D., Illinois Institue of Technology and Tingting Li, Illinois Insitute of Technology
Performance Attribution is well established in low frequency equity management as a way to assign the portions of a fund's return to the distinct decisions the asset manager makes in attempting to achieve this performance. This article extends this idea to provide a workable framework for high frequency equity asset management. Such a framework must include many features that are not present in the low frequency framework.
High Frequency Equity Performance Attribution.
