Professional articles and academic papers on performance analysis. Attribution analysis seeks to compare the return from a fund with the return from a benchmark, and to explain the differences by decomposing the excess return into its component parts. Some of our most popular research on attribution analysis considers performance attribution methodology from first principles, providing... a primer on attribution analysis and models. Others white papers and reports focus on particular models, such as the Brinson Model, fixed income return attribution, equity attribution analysis, or the dissecting of hedge fund returns. A key aspect of performance is of course reporting to clients, and here the CFA provides guidance for effective investment reporting with its Principles for Investment Reporting model, known as GIPS (Global Investment Performance Standards) and encapsulated in the GIPS Handbook. A proper attribution of returns illuminates the contribution made by active managers, enabling judgements to be formed of whether excess returns have arisen from skill or luck. For most investment strategies, however, an extended period of time is required before such judgements can be made with any confidence.
This issue compares factor investing to the two other common investment approaches: traditional alpha strategies and market cap-weighted indexing. We argue that each of these three distinct investment approaches has its own merits and purposes and that, by understanding these differences, investors can make more informed…
The spreads between bonds change every day. Sometimes it’s for obvious fundamental reasons, like global or company specific news, earnings announcements, or changes in capital structure. Other times, spreads move due to supply and demand technicals, human behavior, or flawed analysis—factors that have nothing to do with the…
This paper has been tagged with: 'hedge funds performance'. It is entitled, 'Size, Age, and the Performance Life Cycle of Hedge Funds (2018)' and has been saved under 'hedge funds, performance attribution analysis, fund manager selection and mandates'.
Viewed from the bottom line 0.48% June gain (0.62% with dividends), the month was boring. However, judging from the sector results (consumer staples up 4.15% and industrials down 3.43%) or issue level variance (107 issues up at least 5% and 69 down at least 5%; 34.9% of the index) there was action, with a good number of…
The Risk-Adjusted SPIVA® Scorecard reports on the performance of actively managed U.S. mutual funds against their respective benchmark indices through a risk-adjusted lens over 3-, 5-, 10-, and 15-year investment horizons.
The authors survey and discuss methods proposed in the literature for estimating the Sharpe ratio; computing confidence intervals around a point estimation of the Sharpe ratio; and performing hypothesis testing on a single Sharpe ratio and on the difference between two Sharpe ratios.
Theoretical models imply fund size and performance should be negatively linked. However, empiricists have failed to uncover consistent support for this negative relation. Using a new econometric framework which includes fund-specific sensitivities to decreasing returns to scale, we find a both economically and statistically…
Let’s frame this at a high level first: What is performance attribution? Performance attribution is an integral part of the investment process that helps to close the feedback loop by explaining the drivers of benchmark relative over- or underperformance.
Using a comprehensive and survivor-bias free dataset of U.S. hedge funds, we document the role that inside investment plays in managerial compensation and fund performance. We find that funds with greater investment by insiders outperform funds with less “skin in the game” on a factor-adjusted basis; exhibit greater return…
One of the most common misunderstandings about income investing is the confusion of long-term income with short-term yield. In our experience, equity income investors tend to have a long-term time horizon. They are often looking for investments that will offer them many years of growing dividends, in the hope that they will…
This issue compares factor investing to the two other common investment approaches: traditional alpha strategies and market cap-weighted indexing. We argue that each of these three distinct investment approaches has its own merits and purposes and that, by understanding these differences, investors can make more informed…
This paper has been tagged with: 'hedge fund performance'. It is entitled, 'The Role of Strategy Distinctiveness in Hedge Fund Performance (2017)' and has been saved under 'hedge funds, performance attribution analysis'.
This paper proposes a performance-driven gradient boosting model (pdGBM) which predicts short-horizon price movements by combining nonlinear response functions of selected predictors. This model performs gradient descent in a constrained functional space by directly minimizing loss functions customized with different trading…
This paper has been tagged with: 'beta hedging, momentum, portfolio performance'. It is entitled, 'Beta Hedging: Performance Measures, Momentum Weighting, and Rebalancing Effects (2018)' and has been saved under 'quanitative investment techniques, security selection & analysis, performance…
