Brinson-Style Attribution over Continuous Factors
提出一种在连续因子暴露下进行布林森风格归因的方法，证明分配效应和选择效应分别等同于因子贡献和特质贡献，并统一了传统布林森归因与因子归因。
The authors develop a methodology to perform a Brinson-style attribution over a set of factors that may have continuous exposures to the assets. They show that for a set of factor returns, the Brinson-style allocation and selection effects are synonymous with the factor and specific contributions respectively. This puts an end to an open question of how to make sense of two different kind of attributions, namely, Brinson attribution over sectors and factor attribution over factors. The authors show that they are identical if the factor returns used in the attribution completely explain the underlying benchmark portfolio. Their method is simple, intuitive, and reduces to the standard Brinson attribution for the case of binary factors, such as industry, country, and currency factors.