Factor Performance Attribution is a methodological framework in quantitative finance that decomposes the returns of a portfolio into exposures to specific risk factors and their corresponding factor returns, thereby identifying the contribution of each factor to overall performance.
14
Publications
366
Citations
28
Authors
30
Institutions
Publications per year
2017–2026
1
Variants
Factor Attribution
Parents
Publications
14
Yunqi Zhang, David Meisner, Jason Mars et al. · ACM SIGARCH Computer Architecture News · 2016 · 66 citations
Risk-Adjusted Performance Attribution
Ernest M. Ankrim · Financial Analysts Journal · 1992 · 40 citations
Business, Accountancy, Finance +14
1–5 of 14
Authors
28
- VK
3
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- BW
2
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- DM
2
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- VP
2
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- JM
2
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1–5 of 28
Institutions
30
Healthcentric Advisors
Providence, United States
2 h-index
3 publications
41 citations
Brigham Young University
Provo, United States
2 h-index
2 publications
32 citations
University of Michigan
Ann Arbor, United States
2 h-index
6 publications
318 citations
University of California, Los Angeles
Los Angeles, United States
2 h-index
2 publications
48 citations
Texas Tech University
Lubbock, United States
2 h-index
2 publications
48 citations
Meta (Israel)
Tel Aviv, Israel
2 h-index
2 publications
106 citations
Janus University
Newport Beach, United States
1 h-index
1 publications
13 citations
Concordia University
Montreal, Canada
1 h-index
1 publications
20 citations
1–8 of 30
Venues
- Financial Analysts Journal
FAJ · 6 publications · 154 citations
6
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- SSRN Electronic Journal
Repository · 2 publications · 25 citations
2
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- ARCA (Università Ca' Foscari Venezia)
Repository · 1 publications · 33 citations
1
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- Journal of Financial and Quantitative Analysis
JFQA · 1 publications · 20 citations
1
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- IEEE Transactions on Neural Networks
1 publications · 14 citations
1
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1–5