TY - JOUR T1 - Performance Attribution of Options: <em>Defining Single-Stock Option Exposures and Understanding the Brinson-Fachler Effects</em> JF - The Journal of Portfolio Management SP - 103 LP - 111 DO - 10.3905/jpm.2014.40.2.103 VL - 40 IS - 2 AU - Stuart Morgan Y1 - 2014/01/31 UR - https://pm-research.com/content/40/2/103.abstract N2 - 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’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 ER -