Financial Education

Micro performance attribution can help determine the sources of return generated by a particular active portfolio manager. Virtually all micro performance attributions involve a factor model. Some such models are limited to economic sectors and industries, and compare the return due to sector selection with that due to security selection within the sector.

Other factor models can include a variety of factors, including:

• Size
• Growth characteristics
• Valuation
• Financial strenth

For more information, see all articles on: Active Management, Investment Returns, Performance Measurement, Portfolio Management

See also:

Custom Factor Attribution

Evaluating Investment Manager Performance

Estimating the Market Risk Premium Using Arbitrage Pricing Theory

Macro Performance Attribution

Performance Evaluation