Abstract
The conventional methods favored by most performance attribution analysts fail to capture critical facets of the effects of options on portfolio performance. Analysts rely on fairly unsophisticated methods says <b>Stuart Morgan</b> author of <b><i>Performance Attribution of Options: Defining Single-Stock Option Exposures and Understanding the Brinson-Fachler Effects</i></b>. In this <b><i>Practical Applications</i></b> report, Morgan suggests an approach to performance attribution of options with the potential to yield maximum possible insight into the drivers of performance. The author, an Investment Analyst at <i><b>Wingate Asset Management</b></i> says analysts should begin by understanding what role options play in the portfolio manager’s investment strategy. “The performance analyst should understand what the portfolio manager is trying to achieve in employing options… and then determine how to weight them in the portfolio,” Morgan says. <b>TOPICS:</b>Equity portfolio management, in portfolio management, options
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