What is Micro attribution?
Equity attribution, also known as micro attribution, compares a portfolio’s performance to that of a benchmark by decomposing the excess return to explain the impact of various investment decisions.
What is a good alpha value?
Defining Alpha Alpha is also a measure of risk. An alpha of -15 means the investment was far too risky given the return. An alpha of zero suggests that an asset has earned a return commensurate with the risk. Alpha of greater than zero means an investment outperformed, after adjusting for volatility.
Do you want a high or low alpha?
Alpha shows how well (or badly) a stock has performed in comparison to a benchmark index. Beta indicates how volatile a stock’s price has been in comparison to the market as a whole. A high alpha is always good.
Is High alpha good or bad?
Alpha of greater than zero means an investment outperformed, after adjusting for volatility. When hedge fund managers talk about high alpha, they’re usually saying that their managers are good enough to outperform the market.
What is the objective of performance attribution in Statpro?
Performance Attribution History and Progress Carl Bacon, CIPM Chief Adviser, StatPro Introduction The objective of performance attribution, as stated by Menchero (2000), is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate them to active decisions by the portfolio man- ager.
How is performance attribution used to measure performance?
Preface Performance attribution interprets how investors achieve their performance and measures the sources of value added to a portfolio. This guide describes how returns, relative to a benchmark, are broken down into attribution effects to determine how investors achieve performance and measure the sources of value added to a portfolio.
What is the objective of performance attribution in portfolio management?
Introduction The objective of performance attribution, as stated by Menchero (2000), is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate them to active decisions by the portfolio man- ager. Hensel, Ezra, and Ilkiw (1991) defined attribution as the “mathemati-
What does DiBartolomeo mean by performance attribution?
DiBartolomeo (2003) considered performance attribution to be the process of disentangling component portions of the observed returns to draw conclu- sions about the strengths and weaknesses of the investment process. Note that these definitions are similar.