Performance Attribution and the Accuracy of Detecting Timing and Selection Skills
$25
The purpose of the Brinson, Hood, and Beebower model is to classify the forecasting abilities of a portfolio manager into timing and selection skills. In this study, the author performed two simulation experiments one with managers having only timing skills and one with managers having only selection skills. The results suggest that the measurements of timing ability are associated with a lot of uncertainty.
Author: Auke Plantinga, Ph.D.
The purpose of the Brinson, Hood, and Beebower model is to classify the forecasting abilities of a portfolio manager into timing and selection skills. In this study, the author performed two simulation experiments one with managers having only timing skills and one with managers having only selection skills. The results suggest that the measurements of timing ability are associated with a lot of uncertainty.
Performance Attribution and the Accuracy of Detecting Timing and Selection Skills.
