Mastering Attribution in Finance

1

An introduction to attribution

1.1 Securities, portfolios and risk

1.2 Types of risk

1.3 Return and attribution

1.4 Strategy tagging

1.5 Types of attribution

1.6 Book structure

1.1 SECURITIES, PORTFOLIOS AND RISK

The aim of a managed fund is to invest in appropriate financial instruments so that the fund’s value is maintained, or increased, over time. In this context, value can either be tracked in absolute terms or measured relative to a reference entity called a benchmark.

For convenience, the securities in a fund are usually grouped into entities called portfolios. One can then talk of the return of the portfolio as a whole, rather than the returns of its constituent assets.

1.2 TYPES OF RISK

Managed funds that hold assets such as ...