2006•Unpublished venueRequires access

Return, Risk, and Performance Attribution

TerhaarKevin

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Abstract

To identify sources of manager skill and added value, portfolio managers and analysts must strive for consistency between the investment process and the performance attribution analysis used to evaluate the process. Otherwise, the attribution can yield erroneous results. Three examples explain why consistency is paramount in deciphering risk-adjusted performance and evaluating investment expertise.

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What this paper is about

To identify sources of manager skill and added value, portfolio managers and analysts must strive for consistency between the investment process and the performance attribution analysis used to evaluate the process. Otherwise, the attribution can yield erroneous results. Three examples explain why consistency is paramount in deciphering risk-adjusted performance and evaluating investment expertise.

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Available abstract

To identify sources of manager skill and added value, portfolio managers and analysts must strive for consistency between the investment process and the performance attribution analysis used to evaluate the process. Otherwise, the attribution can yield erroneous results. Three examples explain why consistency is paramount in deciphering risk-adjusted performance and evaluating investment expertise.

Key concepts: Attribution, Consistency (knowledge bases), Portfolio, Investment (military), Risk analysis (engineering), Process (computing), Business, Actuarial science

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