Applied Research:

Turning Negative Into Nothing: An explanation of "adjusted factor-based performance attribution"

Author: Axioma

Factor attribution sits at the heart of understanding the returns of a portfolio and assessing whether a manager has invested in a manner consistent with his value proposition. In this paper, we will step back and look at factor-based attribution from first principles, as well as describe a methodology that will help correct some of the underlying issues that may arise and produce misleading results.

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