Multiperiod Static-Dynamic Factor Attribution

With the growing popularity and accessibility of factor investments, it is important to analyze fund managers’ performance through the lens of factors. Do fund managers profitably time their exposures to risk factors? How much return comes from long-term positioning, as against short-term tactical changes? In this paper, we attempt to address these questions with a new multiperiod static-dynamic factor attribution methodology.

Gordon Sutton , and Patrick Caldon Feb 1, 2022

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