Ex-Post Performance Attribution Analysis

Ex-post performance attribution analysis, or benchmark analysis, evaluates the performance of a portfolio based on the return of the portfolio and their correlation with various factors or benchmarks. Ex-post analysis is the standard method of performance analysis for long-only funds. It can be contrasted with ex-ante analysis, which is often more appropriate for hedge funds.

Ex-post performance analysis is usually based on regression analysis. For example, if we wanted to determine how much of a portfolios P&L could be attributed to market exposure, we would run a regression of the portfolio’s returns versus the returns of the market index. The regression would tell us the portfolio’s beta to the market index, and how much alpha the fund was adding or losing relative to the market index.

 

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