Concepedia

Active Return Decomposition

Active Return Decomposition is a methodological framework in portfolio performance analysis that decomposes the excess return of an investment portfolio relative to its benchmark into distinct components attributable to strategic, tactical, and structural decisions made by the portfolio manager.

17

Publications

747

Citations

31

Authors

27

Institutions

Publications per year

2017–2026

1

Parents

Publications

17

Portfolio Constraints and the Fundamental Law of Active Management

Roger Clarke, Harindra de Silva, Steven Thorley · Financial Analysts Journal · 2002 · 253 citations

, , +17

Comparisons and Combinations of Long and Long/Short Strategies

John S. Brush · Financial Analysts Journal · 1997 · 79 citations

, , +11

Optimizing Manager Structure and Budgeting Manager Risk

M. Barton Waring, Duane Whitney, John Pirone et al. · The Journal of Portfolio Management · 2000 · 62 citations

, , +17

Portfolio Constraints and the Fundamental Law of Active Management

Steven Thorley · SSRN Electronic Journal · 2001 · 55 citations · Full text

, , +17

Rehabilitating the Role of Active Management for Pension Funds

CFA Digest · 2012 · 39 citations · Full text

, , +16

1–5 of 17

Authors

31

  1. ST
    Steven Thorley

    Brigham Young University, United States

    3 publications · 333 citations

    3

    h-index

  2. RC
    Roger Clarke

    Australian National University, Australia

    2 publications · 278 citations

    2

    h-index

  3. HD
    Harindra de Silva

    Brigham Young University, United States

    2 publications · 278 citations

    2

    h-index

  4. GJ
    Gordon Johnson

    California State University, Northridge, United States

    1 publications · 22 citations

    1

    h-index

  5. EH
    Eric H. Sorensen

    Quantitative BioSciences, United States

    1 publications · 28 citations

    1

    h-index

1–5 of 31

Institutions

27

  1. SV Health Investors (United States)

    Boston, United States

    3 h-index

    4 publications

    593 citations

  2. Centre d'Etudes Prospectives et d'Informations Internationales

    Paris, France

    2 h-index

    2 publications

    68 citations

  3. Brigham Young University

    Provo, United States

    2 h-index

    2 publications

    278 citations

  4. EconomiX

    Nanterre, France

    2 h-index

    2 publications

    68 citations

  5. Global Strategy Group

    New York, United States

    1 h-index

    2 publications

    124 citations

  6. Capital Group (United States)

    Los Angeles, United States

    1 h-index

    3 publications

    66 citations

  7. Universitas Muhammadiyah Sumatera Utara

    Medan, Indonesia

    1 h-index

    1 publications

    39 citations

  8. Centre d'Économie de la Sorbonne

    Paris, France

    1 h-index

    1 publications

    29 citations

1–8 of 27

Venues

  1. The Journal of Portfolio Management

    JPM · 3 publications · 100 citations

    3

    h-index

  2. Financial Analysts Journal

    FAJ · 3 publications · 360 citations

    3

    h-index

  3. Journal of Banking & Finance

    2 publications · 46 citations

    2

    h-index

  4. CFA Digest

    2 publications · 54 citations

    2

    h-index

  5. Journal of Asset Management

    2 publications · 45 citations

    2

    h-index

1–5