Attribution Analysis : Issues Old and New

This paper describes in detail the problem of attribution analysis. We suggest a precise approach of solving this problem. The approach is universal and specifically it solves the problem of attribution analysis of return on fund level as well as on sector level. The main shortcomings of other suggested approaches to Attribution Analysis are considered. We show that despite claims to the contrary they are imprecise. A methodology is suggested to find the determinant of portfolio return. Based on the example of historical data for Australian investment funds, we have found that Security Selection is the determinant of return