The influence of the three Performance Attribution (PA) components (Asset Allocation, Stock Selection and Interaction) on the extra-return provided by an equity portfolio is investigated by simulating a style investing approach based on a Micro Decision Making (MDM) model. A Monte Carlo experiment is carried out in order to consider different scenarios in which the MDM model operates. A conditional regression tree is grown to conditionally decompose the extra-return into the three above-mentioned PA components while controlling for Tracking Error Volatility and the turnover of each MDM portfolio. The ability of such portfolios to overperform the benchmark in a single period is also investigated.
CONDITIONAL PERFORMANCE ATTRIBUTION FOR EQUITY PORTFOLIO
CONVERSANO, CLAUDIO;
2012-01-01
Abstract
The influence of the three Performance Attribution (PA) components (Asset Allocation, Stock Selection and Interaction) on the extra-return provided by an equity portfolio is investigated by simulating a style investing approach based on a Micro Decision Making (MDM) model. A Monte Carlo experiment is carried out in order to consider different scenarios in which the MDM model operates. A conditional regression tree is grown to conditionally decompose the extra-return into the three above-mentioned PA components while controlling for Tracking Error Volatility and the turnover of each MDM portfolio. The ability of such portfolios to overperform the benchmark in a single period is also investigated.
| File | Dimensione | Formato | |
|---|---|---|---|
|
ConversanoMAF2012_merged.pdf
Solo gestori archivio
Tipologia:
versione editoriale
Dimensione
1.5 MB
Formato
Adobe PDF
|
1.5 MB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
