Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Aug 9

Brinson performance attribution

Posted by abiao at 07:31 | Code » VBA/Excel | Comments(0) | Reads(15452)
Performance attribution is used as a way to check the relative performance of portfolio against selected Benchmark, the difference of which is called active return. Brinson method decomposes active return to asset selection effect and industry selection effect, helping investor realize where the active return is from, which asset or industry has a biggest  contribution to the active return of portfolio, ect.

wiki(Performance attribution)

Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]