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Special Report on

Brinson performance attribution

brinson performance attribution special research report Photo by www.lherr.org
In historical testing, valuation-indifferent weighting applied to U.S. and global equities has produced statistically significant and economically large outperformance when compared with traditional capitalization-weighted benchmarks. In this article, the authors apply valuation-indifferent weighting to U.S. investment-grade corporate bonds,U.S. high-yield bonds, and hard-currency emerging market bonds.They find that fixed-income portfolios constructed using valuation-indifferent weighting outperform their corresponding cap-weighted benchmarks. The authors also find that the outperformance is higher for markets in which more ...
's performance differed from the benchmark. This difference between the portfolio return and the benchmark return is known as the active return. The active return is the component of a portfolio's performance that arises from the fact that the portfolio is actively managed. Different kinds of performance attribution provide different ways of explaining the active return.
REVIEWS AND OPINIONS
FactSet Taking Risk Blog: When Brinson and risk-based performance ...
While the two approaches to performance attribution explain the same excess return, they are conceptually and mathematically different enough that they will frequently produce inconsistent results. Since the point of analyzing from both perspectives isn’t to instantly validate each other, this kind of discrepancy shouldn’t frustrate you. In this post, I will offer some suggestions on how to proceed when you encounter these types of differences. Our most experienced users jump on these results as an opportunity to gain insight. You can too. To begin, I should review my terminology. Brinson attribution refers to ... market research, surveys and trends
The StatPro Cloud: The Future Landscape of Performance Attribution
It is now 20 years since the publication in the Financial Analysts Journal of the “Determinants of portfolio performance” by Brinson, Hood and Beebower, and together with “Measuring non-US equity portfolio performance” published in the Journal of Portfolio Management a year earlier by Brinson and Fachler, these papers collectively now known as the “Brinson Model” have provided the foundation for much of the development in performance attribution in subsequent years. Recently the number of papers published seems to have increased and we have seen an apparent acceleration in the evolution of performance attribution methodologies, ... market research, surveys and trends

SURVEY RESULTS FOR
BRINSON PERFORMANCE ATTRIBUTION

Performance Attribution for Fixed Income Portfolios Presentation ...
The Duration/Allocation/Selection performance attribution framework ... Document risk-return tradeoff management effects using a generalized Brinson approach. P A G E 10. THE WILSHIRE AXIOM ..... Percent Invested Snapshot. P A G E 27. THE WILSHIRE AXIOM ..... 3.5 million fixed income instruments, including ... industry trends, business articles and survey research
Northfield Open Performance Attribution
We follow the well-established univariate Brinson-Fachler approach to stratification. ..... all common stocks with a minimum capitalization of $250 million. During the ..... Open Performance Attribution. Portfolio Weight=Equal? Percent ... industry trends, business articles and survey research
RELATED NEWS

INFORMATION RESOURCES

Fixed-Income Attribution : the Combined Methodology
typical of the fixed-income world and partially explains why a simple Brinson performance attribution approach is not relevant. The mix of top-down and ... technology research, surveys study and trend statistics
VERMONT STATE EMPLOYEES INVESTMENT PERFORMANCE ANALYSIS JUNE 30, 2003
AELTUS / UBS BRINSON. SINCE. LAST. YEAR TO. LAST 12. INCEPTION. QUARTER ...... EQUITY PERFORMANCE ATTRIBUTION. QUARTER ENDING 6/03 ... technology research, surveys study and trend statistics
Return Attribution for Commercial Real Estate Investment Management
Ankrim, E. M., Risk-Adjusted Performance Attribution, Finan- cial Analysts Journal, 1992, 48:2, 75-82. Brinson, G. P., L. R. Hood and G. L. Beebower, ...
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BRINSON PERFORMANCE ATTRIBUTION
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