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VREDNOVANJE ULAGAČKIH ODLUKA PRI AKTIVNOM UPRAVLJANJU DIONIČKIM PORTFELJIMA U GLOBALNOM ULAGANJU

Authors
Publisher
Hrvatsko društvo ekonomista, Zagreb
Publication Date
Keywords
  • Upravljanje Portfeljem
  • Brinson-Fachlerov Model
  • Procjena Uspješnosti
  • Vrednovanje Uspješnosti
  • Atribucija Uspješnosti
  • Atribucija Prinosa
  • Raščlamba Prinosa
  • Sastavnice Prinosa
  • Kontribucija Tržišne Alokacije
  • Kontribucija Odabira Vrijednosnica
  • Kontrib
  • Portfolio Management
  • Brinson-Fachler Model
  • Performance Evaluation
  • Performance Measurement
  • Performance Attribution
  • Return Attribution
  • Return Decomposition
  • Return Components
  • Market Allocation Contribution
  • Security Selection Contribution
  • Currency A
Disciplines
  • Mathematics

Abstract

The purpose of this article is to present a practical approach on return attribution in terms of active investment decisions in global equity portfolios. The return attribution in managing portfolios is an important task in a domestic as well as in global performance evaluation as it enable us to explain the value added in an investment portfolio, i.e. the active return in terms of active investment decisions. Using this approach we evaluate quality of investment decisions on portfolio allocation. Different ways of attributing portfolio can tell very different stories, so it is important for attribution model practitioners to understand the assumptions entailed in each kind of attribution model. In this paper, we have reviewed the Brinson-Fachler model including its limitations using mathematical approach in decomposing the return and its attribution to particular investment decisions. The result is return decomposition on passive investment decisions represented by the international benchmark return, market allocation contribution, security selection contribution, yield (dividend) component and currency allocation contribution. Without any doubt, there are numerous advantages in using the performance attribution models. To asset management companies it should bring the enhanced (new) view on quality of its investment decisions and investment strategies and to asset owners – it should bring the higher level of transparency through attribution reports.

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