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Multi-Asset Investing: A practical guide to modern portfolio management by Yoram Lustig

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31. Performance attribution

Performance attribution is the process of interpreting portfolio performance and explaining the sources of returns. Investors need to understand how returns were achieved to evaluate success or failure. Performance attribution decomposes returns into asset allocation, investment selection and the interaction between them. For multi-asset, global, multi-manager portfolios, performance attribution is much more challenging and complex than for single asset class portfolios.

Return decomposition analysis (performance attribution)

The goal of return decomposition analysis or performance attribution is decomposing the difference between total portfolio return and total benchmark return (relative performance or active ...

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