Performance Attribution : Measuring Dynamic Allocation Skill

Classical performance attribution methods do not explicitly assess managers' dynamic allocation skill in the factor domain. The authors propose a generalized framework for performance attribution that decomposes the allocation effect into value added from both static and dynamic factor exposures and thus yields additional insight into sources of manager alpha

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Year of publication:	2010
Authors:	Hsu, Jason C.
Other Persons:	Kalesnik, Vitali (contributor) ; Myers, Brett W. (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Performance-Messung \| Performance measurement \| Messung \| Measurement \| Qualifikation \| Occupational qualification \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Financial Analysts Journal, Vol. 66, No. 6, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 8, 2010 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013135272