Bridge over ocean
1 November 2010 Financial Analysts Journal Volume 66, Issue 6

Performance Attribution: Measuring Dynamic Allocation Skill

  1. Jason Hsu
  2. Vitali Kalesnik
  3. Brett W. Myers

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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