Special Report on
Multi-Currency Performance Attribution
Multi-Currency Performance Attribution - Trends
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Performance attribution attempts to explain portfolio performance in terms of the active investment management decision “selection” and “allocation”. Terminology Note that terminology in performance attribution is far from being consistent… Performance Attribution is also called ‘Return Attribution’ ‘Selection’ is also called ‘Stock Picking’ ‘Allocation’ is also called ‘Market Timing’ Some factor models also speak of ‘performance attribution’ When discussing performance attribution, it is usually worth sorting out the ...
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 ... Read More
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MULTI-CURRENCY PERFORMANCE ATTRIBUTION
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Mickey Factz & Currency Performance @ CrackTracks Streetwear Concert Edition