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A Four-factor Performance Attribution Model for Equity Portfolios
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A Four-factor Performance Attribution Model for Equity Portfolios
Authors: Craig Heatter, Charles Gabriel and Yi Wang, Ph.D.
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In this paper the authors discuss a four-factor performance attribution model for equity portfolios. The model captures the risk and return characterstics of four elementary equity investment strategies and can be used to identify and quantify an equity portfolio's risk and style exposures, sources of total return, and sources of value added. It can also be used to help overcome the risk mismatch problem of benchmarking and peer grouping.
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