Regression-based Performance Attribution
$25
The author describes an alternative, regression-based approach that effectively deals with these issues. The key characteristic of this approach is to make a breakdown of individual stock returns in relevant components.
Author: David C. Blintz
Traditional performance attribution cannot adequately handle simultaneous investment decisions because it needs to assume a hierarchical structure. It also results in undesirable cross products. The author describes an alternative, regression-based approach that effectively deals with these issues. The key characteristic of this approach is to make a breakdown of individual stock returns in relevant components.