@article {Stubbs67, author = {Robert A. Stubbs and Vishv Jeet}, title = {Adjusted Factor-Based Performance Attribution}, volume = {42}, number = {5}, pages = {67--78}, year = {2016}, doi = {10.3905/jpm.2016.42.5.067}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Factor-based performance attribution is frequently used in the asset management industry in both understanding and assessing the management of a portfolio. Unfortunately, in many cases the inferences from a standard attribution report can be misleading. One cause of this is the misclassification of factor contributions as asset-specific contributions or vice versa, due to missing factors or biased factor exposure estimates. The authors propose an adjusted factor-based performance attribution methodology that corrects for some types of biases by shifting the portion of the asset-specific contribution that is correlated with the factor contributions back into the factor portion. The authors find that, from a practical perspective, the proposed methodology results in more intuitive attributions that provide stronger support of factor-based investment mandates.TOPICS: Analysis of individual factors/risk premia, manager selection, portfolio management/multi-asset allocation}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/42/5/67}, eprint = {https://jpm.pm-research.com/content/42/5/67.full.pdf}, journal = {The Journal of Portfolio Management} }