Chapter 12

Attribution Analysis for Equity Portfolios According to the Brinson Approach

Abstract

In this chapter the fundamental approach to attribution analysis as developed by Brinson and others will be introduced. At first, simple ways for decomposing a return on a segment basis will be described. Based on these preliminary considerations, the basic features of the Brinson approach will be derived by means of an allocation and a selection portfolio, representing the characteristic aspects of the underlying investment process. The resulting interaction effects will be discussed in detail. Furthermore, basic approaches to consider currency effects will be outlined. The formalism will then be extended to the multi-period-case. Finally, approaches ...

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