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.

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The Journal of Performance Measurement

The Performance Measurement Resource.

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