PORTFOLIO MANAGEMENT - Performance Attribution and the Fundamental Law - The reported study operationalized the "fundamental law of active management" in the context of a factor-based performance attribution system. The system incorporates factor payoffs in the linear regression framework that many portfolio managers and external reviewers use to judge what is being rewarded in the market. The ...
| Year of publication: |
2005
|
|---|---|
| Authors: | Clarke, Roger ; Silva, Harindra de ; Thorley, Steven |
| Published in: |
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 61.2005, 5, p. 70-83
|