Performance Measurement

A Four-factor Performance Attribution Model for Equity Portfolios

$25.00

In this paper the authors discuss a four-factor performance attribution model for equity portfolios.  The model captures the risk and return characteristically four elementary equity investment strategies and can be used to identify and quantify an equity portfolio’s risk and style exposures, sources of total return, and sources of value added.  It can also be used to help overcome the risk mismatch problem of bench-marking and peer grouping.

Authors: Craig Heatter, Charles Gabriel and Yi Wang, Ph.D.

SKU: Fall20049-1-4 Category: Tags: ,

Product Description

In this paper the authors discuss a four-factor performance attribution model for equity portfolios.  The model captures the risk and return characteristically four elementary equity investment strategies and can be used to identify and quantify an equity portfolio’s risk and style exposures, sources of total return, and sources of value added.  It can also be used to help overcome the risk mismatch problem of bench-marking and peer grouping.

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