We propose an adjustment of standard regression-based factor attribution to address a common issue: implementation constraints often mean that investors cannot realize the full potential of a factor strategy, but standard attribution analysis assumes that they can – leaving part of the...

Existing implementations of factor attribution only explain part of a quantitatively managed portfolio's return, even when factor models are all that is behind the investment strategy. We propose an alternative method that aligns stock-specific risk in how exposure to factors is taken in the...