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The main idea is that the riskiness of one portfolio's returns is being adjusted for comparison to another portfolio's returns. Virtually any benchmark return (e.g., an index or a particular portfolio) could be used for risk adjustment, though usually it is the market return. For example, if you were comparing performance of endowments, it ...
Attribution analysis attempts to distinguish which of the various different factors affecting portfolio performance is the source of the portfolio's overall performance. Specifically, this method compares the total return of the manager's actual investment holdings with the return for a predetermined benchmark portfolio and decomposes the ...
Brinson and Fachler (1985) and Brinson, Hood, and Beebower (1986) introduced the Brinson models as a foundation for investment portfolio performance attribution. [6] These models further sub-divide active returns due to active management into security selection - return achieved through selecting different securities than the benchmark, asset allocation - return achieved through weighting ...
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Combo Benchmark Compare to Compete Online Benchmarking web-based database This web-based database is suitable for groups of competitors to benchmark individual performance against group performance. All process and performance benchmarks can be processed in this software, providing interesting analysis tools and complete benchmarking report ...
Betas commonly quoted in mutual fund analyses often measure the exposure to a specific fund benchmark, rather than to the overall stock market. Such a beta would measure the risk from adding a specific fund to a holder of the mutual fund benchmark portfolio, rather than the risk of adding the fund to a portfolio of the market. [4]
In finance, Jensen's alpha [1] (or Jensen's Performance Index, ex-post alpha) is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return. It is a version of the standard alpha based on a theoretical performance instead of a market index .
This is based on the standard Brinson-Fachler attribution scheme, where the securities in the portfolio and benchmark are divided up into buckets based on their modified duration. This scheme has the advantage that it is readily understandable, particularly by managers who have an equity background. However, it does not provide a very deep ...