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arXiv · 2102.05799

Portfolio Performance Attribution via Shapley Value

Nicholas Moehle·Stephen Boyd·Andrew Ang
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Abstract

We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many ways to do this, which lead to potentially different attributions in any specific case. We argue that a specific attribution method due to Shapley is the preferred method, and discuss methods that can be used to compute this attribution exactly, or when that is not practical, approximately.

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Nicholas Moehle, Stephen Boyd, Andrew Ang. 2021-02-11. Portfolio Performance Attribution via Shapley Value. https://arxiv.org/abs/2102.05799

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