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Performance Attribution and the International Portfolio

categories: Performance Analysis, PMA, Equities, Research Paper, MEIER John, general

While Barra's multiple factor approach has gained widespread acceptance among within-country managers, this approach can only explain a part of the puzzle when it comes to international managers and their multiple country and multiple currency portfolios. Barra has developed products to perform a multiple factor performance attribution on a multiple country, multiple currency portfolio. Multiple factor performance analysis of international portfolios can analyze the active performance of international equity managers, and we can analyze multiple country portfolios in much the same way that we have examined the performance of within-country portfolios. Portfolio managers and pension fund sponsors may now  identify the sources of risk and return to their portfolio with greater accuracy.