Performance Analysis

Performance Analysis - Articles & White Papers

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.
  • EDHEC-Risk Institute

    Multi-Dimensional Risk and Performance Analysis for Equity Portfolios (EDHEC)

    Multi-factor models are commonly used for risk analysis and performance attribution of equity portfolios. Equity portfolio managers are interested not only in assessing the impact of common factors, but also in understanding the impact of stock-specific attributes upon portfolio risk and performances. In this report, EDHEC-Risk Institute explores the challenge of consistent risk ...

  • Intech Investments

    How to Harness Volatility to Unlock Alpha (Intech Investments)

    The excess growth rate is an important source of long-term returns, and is always positive across all-long portfolios.

    When many stocks are combined in a portfolio that is regularly rebalanced, their interactions cause the portfolio to have a higher compound return than the weighted compound return of the stocks in the portfolio.

    Infrequently traded portfolios, such as market ...

  • eVestment

    Impact of Strategy Size on Performance: Global Report (eVestment, 2017)

    This report provides an overview of the quantitative and qualitative characteristics of small, medium, and large strategy sizes within the most viewed universes by USA-based and Canada-based consultants and institutional investors using the eVestment platform in 2016. The authors look at the six most viewed equity, three most viewed fixed income, and top viewed balanced/multi-asset ...

  • CFA Institute

    Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? (Financial Analysts Journal)

    Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does ...

  • Intech Investments

    How to Harness Volatility to Unlock Alpha (Intech Investments)

    The excess growth rate is an important source of long-term returns, and is always positive across all-long portfolios.

    When many stocks are combined in a portfolio that is regularly rebalanced, their interactions cause the portfolio to have a higher compound return than the weighted compound return of the stocks in the portfolio.

    Infrequently traded portfolios, such as market ...

  • Axioma

    Adding Alpha by Subtracting Beta: A Case Study on how Quant Tools can Improve a Portfolio's Returns (Axioma)

    Fundamental (discretionary) portfolio managers typically build their portfolios from the bottom up. That is, they identify stocks they expect to beat the market and combine them to create a portfolio. However, fundamental managers can leverage quantitative tools to help identify and lessen potential issues in their portfolio, while still maintaining their investment views and ...

    • Professional
    • Views: 1387
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  • MSCI

    Navigating Central Bank Intervention in Corporate Bond Markets (MSCI, 2017)

    • 04 May 2017
    • Company: MSCI

    Since the 2008 financial crisis, major central banks have purchased $9 trillion of bonds in efforts to reinvigorate the global economy. Government guaranteed securities comprise 96% of these purchases. Several central banks have purchased corporate bonds; the European Central Bank (ECB) is the largest buyer of these bonds and remains an active purchaser. With signs of rising ...

  • The ABCs of Hedge Funds: Alphas, Betas, and Costs (2011)

    In this landmark hedge fund paper released in 2011, Roger Ibbotson, Peng Chen and Kevin Xhu analyse the decomposition of hedge fund returns, to produce a simple "ABC" (alpha, beta and costs). They estimate that, for the 1995-2009 period, the equally-weighted mean annual return from hedge funds consisted of Alpha of 3.0%, Beta of 4.7%, and Costs of 3.4%. The mean annual ...

  • Morningstar

    Total Portfolio Performance Attribution Methodology

    Performance attribution analysis involves comparing the performance of an investment portfolio with that of a benchmark. To better explain the impact of investment decisions, the excess return is gotten rid of. It is crucial to separately examine the contributions of the two sets of decision-makers in a total portfolio - the investment managers and the plan sponsor. This document ...

  • CFA Institute

    CFA Principles for Investment Reporting (2014)

    Today's complex investment landscape requires a tool set of guidelines to bring forward the next stage of investment reporting. Currently, no general global industry guidance exists that addresses the lack of transparency that occurs when asset owners are provided with investment reports. The widely implemented GIPS guidelines address many of of these transparency issues, but ...

    • Short article
    • Views: 794
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  • Capital Dynamics

    Team Stability and Performance in Private Equity (2013)

    Team stability is considered of great important in the world of private equity. It is fixed most due diligence processes. Many GPs say, and many LPs have come to expect, that the stability of the team is vital to continued good performance. This paper explores whether this holds true.

  • Research Affiliates

    The Folly of Hiring Winners and Firing Losers (Research Affiliates, 2017)

    The standard procedure of firing losing managers and hiring winning managers based on their past three-year performance leads to losses. Investors need to look forward—not just back—when allocating to fund managers by using a measure of expected fund returns that considers factor exposures, fees, manager skill in security selection, and factor expected returns estimated based ...

  • Morningstar

    Global Investor Returns Show the Costs of Bad Timing Around the World (Morningstar, 2017)

    Morningstar has expanded its Mind the Gap study from the United States and Europe to its first ever global look at investor returns across markets and asset classes. Although the five-year investor returns gap ranged widely from negative 1.40% to 0.53% for the year ended 2016, some common themes emerged. Investment vehicles that required systematic investment produced better ...

  • Morningstar

    Have Nontraditional Bond Funds Delivered? (Morningstar, 2017)

    Fueled by anxiety over rising rates, The nontraditional bond Morningstar Category took off in the years immediately following the financial crisis. It promised to insulate bond-fund investors from traditional bond-market interest-rate risk. These funds are generally conceived as “go-anywhere” bond funds with broad flexibility to invest across sectors, quality strata, ...

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