Process Attribution: Revisiting Equity Attribution and Decision Making
$25
It is often said that attribution should mirror the investment decision making process if it is to be useful in providing feedback to its participants. This paper argues, however, that the decision to hold a certain security at a certain weight, and the resulting asset allocation/stock selection effects, are actually the outcome of myriad decision-points, and that much is to be gained from understanding the process by which these positions are actually arrived at.
Andrew Kophamel, CFA
Ben Wang, Ph.D.