Multi-period performance attribution paper re-published
08 August 2022
This re-published multi-period performance attribution paper describes a framework for an allocation effect taking active weight drift into account. First published by the Journal of Performance Measurement in 2015, Ortec Finance has published this study before too.
Bas Leering, Head of Global Implementations Investment Performance at Ortec Finance, and Gerard van Breukelen, Robeco Asset Management, investigated the behavior of the Brinson model when used for evaluating the outperformance over multiple periods.
They show that the allocation effect calculated over multiple periods can capture an effect that arises due to the drift in weights introduced by selection decisions, next to the added value of allocation decisions. By an extension to the Brinson method this effect can be isolated, resulting in a more intuitive attribution analysis. Furthermore, they evaluated different smoothing algorithms.
Head of Global Implementations Investment Performance
01 June 2023
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