Attribution models

From Flametree Technologies
Revision as of 05:41, 13 August 2021 by Fiasys (talk | contribs) (Created page with "=Brinson attribution= Brinson attribution decomposes the active returns made by a portfolio against its benchmark into return from asset allocation decisions, and return from...")
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to navigation Jump to search

Brinson attribution

Brinson attribution decomposes the active returns made by a portfolio against its benchmark into return from asset allocation decisions, and return from stock selection decisions.

Brinson attribution is by far the commonest model used to analyse returns of equity portfolios.

More than one level of asset allocation decision can be modelled in the Brinson approach.

Since asset allocation is a sector-level decision, active returns from this source should only be shown down to the sector level. However, stock selection can be measured at the individual security level.

FIA supports both the Brinson-Fachler and the Brinson-Hood-Beebouwer approaches.

FIA also allows stock selection returns to be treated as if they are asset allocation return within a given sector.

For off-benchmark positions, FIA allows return to be treated as asset allocation or stock selection return.

Fixed income attribution

Hybrid attribution