Multicurrency Performance Attribution Analysis with Currency Overlay Management
指出标准Brinson-Fachler归因框架无法反映全球组合中货币与国家的独立管理策略，并展示了如何通过纳入对冲成本和货币意外因素来改进该框架，同时对比了Karnosky-Singer与Ankrim-Hensel两种方法的异同。
Portfolio managers attract asset owners by promoting their skills and investment decision process. Performance attribution explains how their decisions add value to portfolios. To be useful, the attribution framework must reflect the decisions made by the managers. Country and currency exposures of global portfolios are often managed with distinct strategies. The author demonstrates that the standard implementation of the Brinson–Fachler attribution framework does not reflect those strategies and produces non-intuitive results. To reflect those strategies, the author shows ways of implementing the Brinson–Fachler framework that incorporate the cost of hedging and the currency surprise and contrasts the results with the standard implementation. He highlights the similarities and the divergences between the Karnosky–Singer and Ankrim–Hensel approaches and proposes a technique to make both approaches equivalent.