Determinants of Portfolio Performance¶
Brinson, G. P., Hood, L. R., & Beebower, G. L. (1986). Determinants of Portfolio Performance. Financial Analysts Journal, 42(4), 39-44.
Cited by¶
2 citations across 2 artifacts.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Selection Vs Transmission Decomposition
- In portfolio attribution it is Brinson attribution, decomposing total return into an allocation effect (overweighting better-performing classes) and a selection effect (within-class security selection) — the same cut under a different name.
This sourceBrinson attribution, decomposing total portfolio return into an allocation effect (weighting) and a selection effect (within-class security selection).
- In portfolio attribution it is Brinson attribution, decomposing total return into an allocation effect (overweighting better-performing classes) and a selection effect (within-class security selection) — the same cut under a different name.
Mechanisms¶
- Benchmark Attribution Report
- Its strength is that it makes a single performance number legible and accountable: it shows how much came from the benchmark, how much from exposure choices, and how much is genuinely unexplained, and it forces the benchmark's assumptions into the open where a committee can challenge them.
This sourceDecomposes portfolio returns to distinguish investment-policy effects from active asset-allocation choices and security selection.
- Its strength is that it makes a single performance number legible and accountable: it shows how much came from the benchmark, how much from exposure choices, and how much is genuinely unexplained, and it forces the benchmark's assumptions into the open where a committee can challenge them.
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