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Performance Attribution with Short Positions
Author: Jose G. Menchero
Price: $25.00

Detailed Description

Performance attribution is a powerful and widely used tool for evaluating portfolio performance relative to a benchmark.  Up until now, attribution methodologies have only considered long positions.  The approach described in this paper is based on explicit treatment of the cash positions as well as independent analysis of the long and short sides of each sector.  The resulting methodology provides a means of evaluating manager performance for strategies that utilize short positions, such as market-neutral hedge funds.

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