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Investing Glossary:
Performance attribution analysis
Copyright 2009,
Campbell R. Harvey. All Rights Reserved.
Do not reproduce without explicit permission.
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| Term: |
| Performance attribution analysis
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| Definition: |
| The decomposition of a Money manager`s performance results to explain the reasons why those results were achieved. This Analysis seeks to answer questions such as: (1) What were the major sources of added value? (2) Was short-term Factor timing statistically significant? (3) Was Market timing statistically significant? and (4), was Security selection statistically significant?
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