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The Brinson-Fachler methodology underpins many public performance attribution analyses. Morningstar, for example, includes a whitepaper [9] on their mode of employing the Brinson-Fachler methodology. Morningstar is known for its analysis of long-only mutual funds, but the Brinson-Fachler analysis is also applicable to hedge ranking funds. [10]
In 1986, Gary P. Brinson, L. Randolph Hood, and SEI's Gilbert L. Beebower (BHB) published a study about asset allocation of 91 large pension funds measured from 1974 to 1983. [10] They replaced the pension funds' stock, bond, and cash selections with corresponding market indexes.
Brison is acknowledged for helping to establish the foundations of investment portfolio Performance Attribution by introducing the Brinson model, through two articles written by Brinson and Fachler (1985) and Brinson, Hood, and Beebower (1986). [8]
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In 1995, the paper 'Determinants of Portfolio Performance' by Gary Brinson, L. Randolph Hood, and Gilbert L. Beebower, demonstrated that asset allocation decisions accounted for greater than 90% of the variability in a portfolio's performance. [2]
Brinson and Fachler (1985) and Brinson, Hood, and Beebower (1986) introduced the Brinson models as a foundation for investment portfolio performance attribution. [6] These models further sub-divide active returns due to active management into security selection - return achieved through selecting different securities than the benchmark, asset allocation - return achieved through weighting ...
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This is based on the standard Brinson-Fachler attribution scheme, where the securities in the portfolio and benchmark are divided up into buckets based on their modified duration. This scheme has the advantage that it is readily understandable, particularly by managers who have an equity background. However, it does not provide a very deep ...