Performance Attribution: Measuring Dynamic Allocation Skill

• DOI: 10.2469/faj.v66.n6.3
• Publication Date: 2010-10-07T10:31:48Z
• Authors: Jason C. Hsu; Vitali Kalesnik; Brett W. Myers
• Keywords: Value (mathematics); Factor (programming language); Dynamic factor

Classical performance attribution methods do not explicitly assess managers' dynamic allocation skill in the factor domain. The authors propose a generalized framework for that decomposes effect into value added from both static and exposures thus yields additional insight sources of manager alpha.