Performance attribution results of investment portfolios are often misleading due to correlation between the factor and specific contributions. This correlation is not correctly accounted for in standard factor-based attribution thus leading to potentially erroneous results. The present invention produces an adjusted factor-based performance attribution methodology that moves a portion of the specific return that is correlated with the factor contributions into the factor portion. This methodology adjusts the contribution to a subset of factors and to the specific contributions such that the resulting factor and specific contributions have small correlation.
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