The Attribution Matrix and the joint use of Finite Change Sensitivity Index and Residual Income for value-based performance measurement
European Journal of Operational Research(2022)
摘要
•Value added of a financial investment depends on manager’s and client’s decisions.•We blend two approaches: Finite Change Sensitivity Index and Residual Income.•We measure the impact of the manager’s and client’s decisions on the value added.•We build the Attribution Matrix, containing the period effects and the decision effects.•We apply the model to an Italian fund, “Anima Italia A”, between 2013 and 2020.
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关键词
Finance,Performance measurement,Attribution Matrix,Sensitivity analysis,Manager and client effect
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