PT  - JOURNAL ARTICLE
AU  - Robert A. Stubbs
AU  - Vishv Jeet
ED  - Mack, Barbara J.
TI  - Practical Applications of Adjusted Factor-Based Performance Attribution
AID  - 10.3905/pa.2016.4.2.177
DP  - 2016 Oct 31
TA  - Practical Applications
PG  - 1--3
VI  - 4
IP  - 2
4099  - https://pm-research.com/content/4/2/1.12.short
4100  - https://pm-research.com/content/4/2/1.12.full
AB  - Adjusted Factor-Based Performance Attribution Robert A. Stubbs Vishv Jeet Factor-based performance attribution seeks to evaluate the components of a portfolio’s return, studying the contribution that each factor makes to the total return. But biases in the analysis can lead to several common errors, such as misclassifying factor returns as asset-specific contributions (or vice versa) or misestimating the actual factor exposure. Robert Stubbs of Axioma and Vishv Jeet of Burgiss have developed a hybrid approach that uses cross-sectional estimates and adjusts them if there is a systematic bias over time. In Adjusted Factor-Based Performance Attribution , Stubbs and Jeet examine the methodology behind performance analytics and explain how their adjusted model can provide deeper insight into the real drivers of investment performance.