IDEAS home Printed from https://ideas.repec.org/p/ven/wpaper/201228.html
   My bibliography  Save this paper

A unified frame work for performance and risk attribution

Author

Listed:
  • Marco Corazza

    (Department of Economics, University Ca� Foscari of Venice)

  • Andrea Menegazzo

    (Ernst & Young, Financial-Business Advisors S.p.A.)

Abstract

Investment performance evaluation is one of the pillars of finance and its techniques have refined throughout the years. This work focuses on the evaluation of the investment performance achieved through a top-down investment strategy analyzed using the Brinson model: a set of techniques that permits to algebraically examine the performance contributions of the investment decisions taken. The model, that originated in 1985, has been constantly refined throughout the years to overcome some of its major problems. In particular, this work analyzes the improvements that permit to apply the Brinson model to a multi-period timeframe and to a risk analysis process. Lastly, this work will present a new approach that adapts the Brinson model to a multi-period timeframe. This new approach refines some of the tools presented in the literature and analyzes the investment decisions from a risk-return perspective rather than a return-only perspective.

Suggested Citation

  • Marco Corazza & Andrea Menegazzo, 2012. "A unified frame work for performance and risk attribution," Working Papers 2012:28, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2012:28
    as

    Download full text from publisher

    File URL: http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2012/WP_DSE_corazza_menegazzo_28_12.pdf
    File Function: First version, 2012
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Performance attribution; Risk attribution; Brinson Model.;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ven:wpaper:2012:28. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Geraldine Ludbrook (email available below). General contact details of provider: https://edirc.repec.org/data/dsvenit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.