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Performance Attribution: A Powerful Tool for Identifying the Sources of Investment Performance
sponsored by Advent Software, Inc
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Posted:
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07 Aug 2008
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Published:
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01 Aug 2008
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Format:
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HTML
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Length:
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20
Page(s)
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Type:
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White Paper
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Language:
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English
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ABSTRACT:
Performance is an investment manager's calling card, and it's often said that performance attribution has become the hottest area in performance measurement. Attribution has become a standard part of the portfolio manager's analytical tool kit, providing insights into what is working and what is not. It provides away to communicate where the returns have come from when meeting with prospects as well as existing clients. And it has allowed the performance measurement team to work more closely with the investment group by providing important information on the results of their investment decisions.
This white paper provides an overview of what performance attribution is and how it works and contrasts two of the more popular models to calculate equity attribution. It is designed to be an introduction to the topic, not an exhaustive discussion, but it is hoped that readers will come away with a firm grasp of the fundamental principles of attribution as well as a practical understanding of how they can be used to measure performance. Our focus is solely on equities, since fixed income attribution is a complex topic beyond the scope of this paper.
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Author
David Spaulding
President
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Spaulding Group
David Spaulding, CIPM, is an internationally recognized authority on investment performance measurement. He’s the president of The Spaulding Group, and founder and publisher of The Journal of Performance Measurement. He has written three books on performance measurement, was a contributing author to a fourth, and co-edited and contributed to a fifth. He consults to clients throughout the world on investment performance issues and teaches classes on performance measurement and attribution. He earned a BA in mathematics from Temple University, a MS in systems management from the University of Southern California, and a MBA in finance from the University of Baltimore. He is pursuing a doctorate in finance and international economics at Pace University.
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sponsored by Advent Software, Inc
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