Defining α in high frequency trading is more complicated than in low frequency since not all strategies are based on price forecasts. More components are required, as is an understanding of the interactions between them. In this paper, we develop the α attribution model for high frequency...

This article develops a methodology to incorporate the return to derivative positions into the recently developed absolute return attribution framework of Cooper and Li. This innovation greatly broadens the scope of use for this attribution model. The positions are integrated into the...

This article develops an intuitive absolute return based attribution framework for the volatility and information ratio of a trading strategy. The results are valid for strategies at all trading frequencies given the appropriate selection of measurement and decision frequencies. The paper also...

Performance Attribution is well established in low frequency equity management as a way to assign the portions of a fund's return to the distinct decisions the asset manager makes in attempting to achieve this performance. This article extends this idea to provide a workable framework for high...