This paper provides a comparative analysis of techniques used to improve the quality of multifactor attributions on constrained long-only portfolios. Our research includes a Weighted Least Squares (WLS) approach, the derivation of constrained factor mimick­ing portfolios as well as a time series- and a non-linear adjustment approach. Based on the multiperiod attribution of a representative portfolio over the timeframe from 1997 to 2019, we find that significant improvements can be achieved by applying both adjust­ment methods since these better align the attribution with the constrained investment process. In addition, using a shrinkage estimator in the WLS approach enhances the widely used market cap weighting scheme by adding further statistical robustness.

Additional Metadata
Keywords Performance Attribution, Factor Models, Factor Mimicking Portfolios
Thesis Advisor Kole, H.J.W.G.
Persistent URL
Series Econometrie
Tran, R.T. (2020, March 17). Multifactor Attribution for long-only investors. Econometrie. Retrieved from