prakadana attribution

oru portfoliyoyude prakadanam maanadandatthil ninnu vyathyasthamaayath enthukondaanennu vishadeekarikkaan prakadana vishakalana vidagdhar upayogikkunna oru koottam saankethikavidyakalaanu perfomence attribution allengil investment perfomence attribution. portfolio rittenum benchmark rittenum thammilulla eee vyathyaasathe active ritten ennu vilikkunnu. portfolio sajeevamaayi kaikaaryam cheiyunnuvenna vasthuthayil ninnu undaakunna oru portfoliyoyude prakadanatthinte gadakamaanu sajeevamaaya varumanam.
vividha tharatthilulla prakadana attribution sajeevamaaya varumanam vishadeekarikkunnathinula vyathyastha vazhikal nalkunnu.
portfoliyoyude mothatthilulla prakadanatthinte uravidam portfoliyoyude prakadanatthe badhikkunna vividha gadakangalil eathaanennu verthirichariyaan attribution vishakalanam shramikkunnu. prathyekamaayi, eee reethi maanejarude yadhaartha nikshepa holdingukalude motham varumaanathe munkootty nischayicha benchmark portfoliyoyude varumanavumaayi thaarathamyam cheyyukayum vyathyaasathe "selection ephakt", "alokkeshan ephakt" enningane vibhajikkukayum cheiyunnu.
lalithamaaya udaaharanam.
30 sathamaanam panavum 70 sathamaanam oharikalum adangunna oru portfolio pariganikkuka. eee udaaharanathinu thaazhepparayunna pattika sthiramaaya oru koottam bharangalum varumaanavum nalkunnu.
2.40% enna benchmark rittenumaayi thaarathamyappeduthumbol portfolio prakadanam 4.60% aayirunnu. angane portfolio 220 basis pooyint kondu benchmaarkkine marikadannu. eee 220 basis pooyint moolyavardhitha moolyam srishtikkaan portfolio maanejar edutha theerumaanangal vishadeekarikkuka ennathaanu perfomence aatribyooshante chumatala.
prakadana aatribyooshante ettavum saadhaaranamaaya maathrkaykku keezhil, adhika moolyam srishtikkaanulla shramathil portfolio maanejarkk rund vyathyastha tharatthilulla theerumaanangal edukkaan kazhiyum
attribution vishakalanam cherttha moolyathe moonnu gadakangalaayi vibhajikkunnu
moonnu attribution nibandhanakal (asattu alokkeshan, stokku selection, interaakshan) oru fadj gadakathinteyum aavasyamillaathe sajeevamaaya varumaanathin krithyamaayi yojikkunnu.
theerumaana attribution vishakalanathinte mattu chila pathippukal prathipravartthana prabhavam ozhivaakkunnu. sajeevamaaya varumaanathilekku aniyanthrithamaaya vipani gadakangalude sambhavana nirnnayikkunnathin vipareethamaayi, ivide vivarichirikkunna vishakalanathinte tharam sajeevamaaya varumaanathil niyanthrikkaavunna oro (tharam) theerumaanathinteyum prabhavam vilayiruthunnathinaan, koodaathe "edapedal" vyakthamaayi nirvachikkapetta niyantritha theerumaanamalla.
theerumaana attribution onniladhikam kaalayalavukalude samyojitha phalathe abhisambodhana cheyyendathundu, athil bharangal vyathyaasappedukayum samyuktham nalkukayum cheiyunnu.
koodaathe, vishakalanam yadhaartha fund nirmmaanathinu prasakthamaakunnathin kooduthal gadanaaparamaaya nikshepa prakriyakal saadhaaranayaayi abhisambodhana cheyyendathundu.
atharam sankeernamaaya nikshepa prakriyakalil asattu klaasukalkkullile mekhalakalum koodaathe/allengil mekhalakalile vyavasaayangalum ulppettekkaam, athirthi klaasukalkkullile eee nested gadakangalude aapekshika bharam theerumaanikkunnathinte falangalekkurichu vilayiruthal aavasyamaanu.
vividha karansikalude vyathyastha apakadasaadhyathayillaatha nirakkukalude pashchaathalatthil raajyathinteyum koodaathe/allengil currency theerumaanangaludeyum phalangalekkurichulla vishakalanam allengil mooladhanavalkkaranam allengil dairkhyam polulla thudarchayaaya swathukkalkkaayi fund allengil bucket moolyangal nischayikkaanulla theerumaanangal avayil ulppedaam.
koodaathe, ikvitti asattukalkk maathram mooladhana theerumaanangal edukkukayum ennaal nischitha varumaana aasthikalkk maathram kaalavadhikkulla theerumaanangal edukkukayum cheyyumbol, oru asattu alokkeshan pinthudarunnathupollu, asattu klaasukalkkullile theerumaana prakriyaykku noothana samvidaanangal anuvadikkunnu.
ettavum sakthamaaya attribution modalukal sheshikkunnavayillathe theerumaana aatribyooshante eee vashangalellaam krithyamaayi abhisambodhana cheiyunnu.
koodaathe, aadhunika portfolio sidhaanthathinu ellah ritten vishakalanavum risk vishakalanavumayi samyojippikkendathundu, allengil nalla prakadana falangalkku avarude bandham valareyadhikam vardhicha apakadasaadhyathayilekku maraykkaan kazhiyum. athinaal, praayogikamaaya oru prakadana attribution samvidaanam ellaayppozhum krithyamaaya risk attribution vishakalanathin samaantharamaayi vyaakhyaanikkanam.
maanadandangalude saadhuta.
saadhuvaaya oru maanadandatthinu niravadhi savisheshathakalundu. atharam swathukkalude pattika chuvade cherkkunnu.
charithram.
1966-ll peettar daitsinte "pension fandukal nikshepa prakadanam alakkunnathu" enna lekhanam fund prakadanatthinte ettavum pradhanappetta alavukol aayi samayabandhithamaya varumaana nirakk sthaapichu.
1968ll baank administration instittyoottinte "inter-fund thaarathamyathinaayi pension fandukalude nikshepa prakadanam alakkunna" patanam athath maanejarmaarude kazhivukal thammil verthirichariyaan pension fund prakadanatthe thaarathamyam cheiyunnathinulla pothu reethikal nirddeshichu. avar thaazhepparayunna karyangal shupaarsha cheythu
portfoliyokal vividha mekhalakalile varumanavumaayi thaarathamyam cheyyanamennum report nirddeshichu.
1972-ll, yujeen faamayude "nikshepa prakadanatthinte gadakangal" nireekshicha varumanam "selectivity" yill ninnulla varumaanamaayi vighadippikkanamennu nirddeshichu, allengil apakadasaadhyathayude oru nilavaaram, "samayam" allengil pothuvaaya vipani vila chalanagal pravachikkanulla kazhivu enniva kanakkileduthu mikacha securitykal thiranjedukkaanulla maanejarmaarude kazhivu. timing" prabhavam, allengil maarkkat ritteninte prabhavam, prakadana attributionil upayogikkunna oru gadakathinte aadya udaaharanamaayirunnu.
holdings adisthaanamaakkiyulla attribution charithram.
holdings adhishtitha ritten attribution 1970-kalkk sesham attribution reethikalude oru groupaayi vikasippikkaan thudangi; eee attribution reethikalkku perfomence attribution nadatthaan portfolio holding daatta aavasyamaanu.
1972ll sosaitti oof investment analystukalude (yuke) oru working group pension fandukalude portfolio prakadanatthinte alavu prasidheekarichu. vividha saangalppika portfoliyokalude varumanam thaarathamyam cheythukondu sajeevamaaya prakadanam vishakalanam cheyyaan kazhiyumenna ashayam eee prabandham avatharippichu. prathyekichum, oro mekhalayilum sajeevamaaya bharam nilanirthunna oru portfoliyoyude prakadanam parisodhikkukayum oro mekhalaykkullil nishkriyamaaya varumanam nedukayum cheythaal, aasthi vihita theerumaanangal vazhi cherkkunna moolyathinte alavu krithyamaayi alakkaan kazhiyum. oru fundinte prakadanam asattu klaasukalude thiranjeduppineyum (ippol asattu alokkeshan ennu vilikkunnu) oru asattu klaasinullile securitykalude thiranjeduppineyum aashrayichirikkunnuvennu paper nirddeshikkunnu.
nirddeshikkunnu 1985lum brinson aandu facler (1985) brinson, hood, beebower (1986) ennivayum nikshepa portfolio prakadana aatribyooshante aditharayaayi brinson modalukal avatharippichu. eee modalukal suraksha thiranjeduppilekku sajeevamaaya maanejment kaaranam sajeevamaaya varumanam upavibhajanam cheythu-maanadandathekkaal vyathyastha securitykal thiranjedukkunnathiloode nediya varumanam, asattu alokkeshan-maanadandathekkaal vyathyasthamayi oru portfoliyoyile asattu klaasukal waiting cheiyunnathiloode nediya varumanam. brinson-facler reethishaasthram niravadhi pothu prakadana attribution vishakalanangalkk adithara paakunnu. udaaharanathinu, prabhaathathaaratthil brinson-facler reethishaasthram upayogikkunna avarude reethiyil oru dhavalapatram ulppedunnu. deerghakaala myoochwal fandukalekkurichulla vishakalanathin ariyappedunna morningstaar, brinson-facler vishakalanam hedge ranking fandukalkkum baadhakamaan.
portfolio rittenum benchmark rittenum thammilulla vyathyaasathe vivarikkunna ardhathil brinson model perfomence attributione "ganitha attribution" ennu visheshippikkaam. udaaharanathinu, portfolio ritten 21 sathamaanavum benchmark ritten 10 sathamaanavum aanenkil, moolyavardhitha moolyathinte 11 sathamaanam ganitha attribution vishadeekarikkum. ennirunnaalum, ganitha attribution multy-period perfomence attributionil prasnangal neridunnu, kaaranam benchmark retainukalum portfolio retainukalum onniladhikam kaalayalavukalil komboundu cheyyumbol, oru portfolio oru benchmark thammilulla ritten vyathyaasangalude aakethuka avayude komboundu cheytha retainukal thammilulla vyathyaasathin thulyamalla. bekkan (2002) eee prashnathinulla parihaaramaayi oru jyaamitheeya aatribyooshante bhaagamaayi jyaamitheeya adhika varumanam nirddeshikkukayum jyaamitheeya aatribyushanukal compoundable aayathinal avaa munganana nalkumennum avaa karansikalkkidayil parivartthanam cheyyaavunnathaayum avaa aanupaathikamaanennum (kaalaanusrithamaayi vyathyastha asattu baseukalkkidayil) nirddeshikkukayum cheythu.
europilum yukeyilum mattoru sameepanam (jyaamitheeya attribution ennariyappedunnu) saadhaaranamaanu. portfolio ritten 21 sathamaanavum benchmark ritten 10 sathamaanavum aanenkil, jyaamitheeya attribution 10 sathamaanathinte sajeevamaaya ritten vishadeekarikkum. sajeevamaaya varumaanathinte 10 sathamaanam, maanadanda prakadanatthinte 10 shathamaanavumaayi koottiyaal, motham portfolio varumanam 21 sathamaanamaanu ennathaanu ithinu pinnile kaaranam. jyaamitheeya roopathil attribution cheiyunnathinte oru nettam attribution phalangal oru currencyil ninnu mattonnilekku sthiramaayi vivarthanam cheiyunnu ennathaanu. europile jyaamitheeya sameepanangalude janapreeti ithu vishadeekarikkunnu ennathu vishwasaneeyamaanu. jyaamitheeya attribution upayogikkunnathinulla mattoru kaaranam rund kaalaghattatthinum saidhaanthikamaayi mikachathaanu ennathaanu.
multy period vishakalanangal, ganitha autributionaayi ithu oru multy period krameekaranatthil prayogikkunnathinu adhika "smoothing" aavasyamaanu.
retains adhishtitha attribution charithram.
retains adhishtithamo gadakathe adisthaanamaakkiyullatho aaya attribution reethikal 1970-kalkk sesham vikasippikkaan thudangi; eee attribution reethikalkku oru portfoliyoyude time seerees ritten daatta aavasyamaanu, koodaathe aaa portfoliyoyil kaivasham vachirikkunna securitykalude time seerees ritten daattayum prakadana attribution nadatthaan vishadeekarana ghadaka portfolio aavashyamaayi vannekkaam. eee reethikalkku holding daatta aavasyamilla, avaa thaarathamyena eluppathil nirvahikkaan kazhiyum, koodaathe avaykku mattu attribution reethikale abhinandikkaanum kazhiyum. ennirunnaalum, avaykku gadakangalude uchithamaaya nirvachanam aavasyamaanu.
1988 muthal 1992 vare vilyam eph. oru prathyeka sajeeva maanejarude shailiyumaayi poruthappedunna oru portfoliyoyude nishkriya varumanam nirnnayikkunnathinum thudarnnu aaa nishkriya portfolio sajeeva maanejarude yadhaartha portfolio rittenum thammilulla vyathyasam edukkunnathinum maarkkat ritten ulppede 12-ghadaka model upayogichu sharp nirddeshichu. eee nishkriya portfoliyokal pilkkala shaili maanadandangalude aditharayaayi maari.
1993ll yujeen famayum kennathu franch vipani varumaanavum valipavum moolyavumaayi bandhapetta gadakangalum ulkkollunna faama-franch three factor model nirddeshichu.
1997-ll, carhart phoor-factor modelle faama-franch three-factor modalil momentam factor cherkkaan maarkk carhart nirddeshichu.
oresamayathe sambhavavikasangal.
sthira varumaana portfolio prakadana attribution reethikal holdingukal adisthaanamaakkiyullathum varumanam adisthaanamaakkiyullathumaya prakadana attribution reethikalile vyathiyanangalaayi vikasichu, kaaranam aaa attribution reethikalile vikasanangal ikvitti portfolio parigananakalaal nayikkappedukayum sthira varumaana portfolioykku saadhaaranayaayi anuchithamaavukayum cheythu. 1977ll, faama ritten decompositionil vipani varumaanathe wagner taittoyum kaalavadhikkulla apakadasaadhyathayode maatti. koodaathe, selection attribution vibhaagam kyaari, yealdcurve, spread attribution vibhagangal enniva upayogichu vardhippichirikkunnu.
multy-currency portfoliyoyile holdings adisthaanamaakkiyulla perfomence attribution reethikalilekkulla kootticherkkalukalaayi currency perfomence attribution reethikal vikasippichu. 1991-ll, gregory aalan jyaamitheeya retainukalum neutralised portfoliyokalum oru multy-currency pashchaathalatthil prakadana attributionulla upakaranangalayi avatharippichu. alan oru maanejarude portfolio edukkukayum oru prathyeka klaas sajeeva theerumaanangalude ritten efakttukal neekkam cheiyunna neutralised portfoliyokal srishtikkukayum thudarnnu prakadana autributionaayi neutralise cheytha portfoliyokalkkethire maanejarude portfoliyokalude vyathyasam edukkukayum cheythu. alan jyaamitheeya retainukal upayogichathukondu ardhamaakkunnathu noonn-currency ritten aatribyushanukal karansikalkkidayil parivartthanam cheyyaavunnathum motham portfolio attribution vare samgrahikkaavunnathumaayir. samgrahikkaavunnathumaayir 1992num idayil, ernest ancrim kriss hensel brinson modalukalil forwade premiyavum currency surprise avatharippichu, athuvazhi perfomence attribution currency theerumaanangalile vyathyastha palisha nirakkukalkk kaaranamakum. 1994ll denis karnosky bryan gayakan, alokkeshanil ninnum selection efakttukalil ninnum swathanthramaayi currency kaikaaryam cheiyunnillenkil multy-currency portfolio kaikaaryam cheiyunnathu opttimal allennu theliyichu.
maanadanda rahita attribution saankethikavidyakal.
munkootty nischayicha maanadandatthe aashrayikkuka ennathaanu portfolio aatribyooshante oru parimiti. prasthaavicha maanadandam uchithamallayirikkaam allengil kaalakramena mariyekkaam ("stail driftt".") vyathyastha maanadandangalulla fandukal thammil phalapradamaaya thaarathamyam nadathunnathu budhimuttaanu. oro ghattathilum portfoliyoyude savisheshathakal manasilaakkunnathiloode, adhika varumanam naipunyathinu nalkaan kazhiyumennu adaptive benchmaarkkinginte vakthaakkal nilanirthunnu.
risk adhishtitha prakadana attribution.
risk adhishtitha prakadana attribution vividha risk gadakangaleyo risk exposureukaleyo adisthaanamaakki oru portfoliyoyude prakadanatthe vighadippikkunnu (ghadaka vishakalanam kaanuka). sankeernamo chalanaathmakamo aaya portfoliyokalkku, risk adhishtitha labha attribution, nediya prakadanatthe maathram aasrayikkunna reethikalekkaal chila gunangal undayirikkaam. chila hedge fund thanthrangalude kaaryatthilum ithu sambhavikkam.
risk adhishtitha labha attributione risk autributionumaayi thettidharikkaruthu, ithu oru portfoliyoyude motham risk cheria unitukalaayi vibhajikkunnu.

