@article {Morgan103, author = {Stuart Morgan}, title = {Performance Attribution of Options: Defining Single-Stock Option Exposures and Understanding the Brinson-Fachler Effects }, volume = {40}, number = {2}, pages = {103--111}, year = {2014}, doi = {10.3905/jpm.2014.40.2.103}, publisher = {Institutional Investor Journals Umbrella}, abstract = {There are two well-known methods to calculate the exposure of a single-stock option and the resulting return in order to undertake performance attribution of a portfolio. I discuss these two methods and introduce a third method to calculate exposure for attribution purposes which is both elegant and simple to calculate. I also discuss the resulting Brinson-Fachler attribution effects and how they should be used by a performance analyst for a portfolio which contains equities, options and cash. I conclude that a performance analyst should look at multiple aggregations in order to get a complete picture of a portfolio manager{\textquoteright}s effectiveness. The results can easily be extended to portfolios which use different options strategies than the ones discussed.TOPICS: Equity portfolio management, in portfolio management, options}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/40/2/103}, eprint = {https://jpm.pm-research.com/content/40/2/103.full.pdf}, journal = {The Journal of Portfolio Management} }