Return, Risk, and Performance Attribution
TerhaarKevin
Abstract
TerhaarKevin
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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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