Attribution
提出一种对称处理事前和事后归因问题的统一方法，通过预测风险、信息比率和转移系数等变量分析投资组合的预期alpha和实际收益，并展示如何将转移系数和实现信息系数归因到具体来源。
This flexible, unified, and portfolio-centered approach to attribution treats attribution questions that occur before the fact (ex ante) and after the fact (ex post) symmetrically. Three important aspects of an analysis of a portfolio ex ante are its predicted risk, the information ratio (which measures the potential to add value), and the transfer coefficient (which shows the manager's ability to capture that potential).The product of these three variables is the portfolio's predicted alpha. Ex post analogues of these concepts are the predicted risk, the opportunity set (which shows how well the manager could do with perfect foresight), and the realized information coefficient (which measures the correlation between the forecast and the outcome). The product of these three quantities is the return of the portfolio. The author shows how to attribute the transfer coefficient and realized information coefficient to sources in a general manner. <bold>TOPICS:</bold> <ext-link>Equity portfolio management</ext-link>, <ext-link>quantitative methods</ext-link>, <ext-link>performance measurement</ext-link>