Performance Attribution: Measuring Manager Dynamic Allocation Skill

Brett Myers, Jason C Hsu, Vitali Kalesmik

Research output: Contribution to journalArticlepeer-review


Classical performance attribution methods do not explicitly assess managers’ dynamic allocation skill in the factor domain. The authors propose a generalized framework for performance attribution that decomposes the allocation effect into value added from both static and dynamic factor exposures and thus yields additional insight into sources of manager alpha.
Original languageEnglish
Pages (from-to)17-26
JournalFinancial Analysts Journal
StatePublished - Dec 2010


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