Performance attribution analysis

The decomposition of a money manager's performance results to explain the reasons why those results were achieved. This analysis seeks to answer questions such as: (1) What were the major sources of added value? (2) Was short-term factor timing statistically significant? (3) Was market timing statistically significant? and (4), was security selection statistically significant?

Performance Attribution Analysis

An analysis of the success or failure of the performance of a money manager's investments. That is, performance attribution analysis investigates the investment decisions a money manager makes with a portfolio or fund, determines what and why investment strategies worked and what did not, and attempts to replicate success and avoid failure in the future. Performance attribution analysis may have an effect on whether the money manager receives a bonus or loses his/her job. See also: Manager Universe (benchmark).

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References in periodicals archive

Part and parcel of portfolio allocation is portfolio monitoring, which ranges from performance attribution analysis to measuring risk-adjusted returns.

Is it time to buy stocks?

Performance attribution analysis identified investment style as the principal causal factor where western Islamic funds exhibited a bias towards small cap growth stocks.

Mutual friends

The most significant addition to Morningstar Direct is performance attribution analysis. This new functionality allows users to quantify and analyze the impact of portfolio decisions, like sector weighting or security selection, on equity performance.

Performance attribution analysis examines differences in performance between an actively managed portfolio and a benchmark.

PERFORMANCE ATTRIBUTION ADDED TO MORNINGSTAR DIRECT

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