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1、HORIZONFlexibleFlexiblePPerformanceerformanceTHEBARRANEWSLETTERAAttributionttributionp.2p.203AUTUMNPUBLICATION#175HORIZONEditorBenWalshEDITORIALBOARDBerkeleyAamirSheikhDanielStefekINSIGHTSLondonJasonLejonvarnFlexiblePerformanceAttributionSydneybyDamienLaker...................

2、..........2PeterRitchieTokyoSixStepstoBetterCreditReturnsOlivierd’AssierbyTimBackshall.............................8ContributingEditorsTimBackshallNeilGilfedderEdHerbertAPPLICATIONSDamienLakerGuyMillerPerformanceAttributionUsingDailyDataAlexanderZheleznyakbyNeilGilfedderandAl

3、exanderZheleznyak.....19DesignStephanieWintersSusanMcIntoshTHEBARRANEWSLETTERProductionSusanMcIntoshBRAINTEASERTheHorizonNewsletterispublishedTheBarraBrainteaserforAutumn2003byBarra,Inc.fromitsheadquartersinBerkeley,California.PleasesendallbyEdHerbert.........................

4、....25addresschangesandrequestsforsubscriptionsto:SolutiontotheSpring2003BrainteaserBarra,Inc.byGuyMiller..............................262100MilviaStreetBerkeley,CA94704-1113tel:510.548.5442fax:510.548.1709EVENTSAsubscriptioncanalsobeobtainedbyvisitingBarra’swebsiteatBarraEdu

5、cationalEventsandwww.barra.com,orbycallinganyIndustryConferences...SpecialPulloutSectionofBarra’sofficeslocatedworldwide.Copyright©Barra2003.Allrightsreserved.INVESTMENTADVISORSACTNOTICEIncompliancewithapplicablefederalregula-tions,Barraherebyofferstoeachofitsadvi-soryclients

6、acopyofpartIIofitsmostrecentFormADV.Toobtainacopy,pleasecallorwriteBruceLedesmaatBarra,Inc.,2100MilviaStreet,Berkeley,California94704,Telephone:510.649.6468.Thereisnochargeforthedocument.WelcometoBarraHorizon.Thefocusofthisissueisperformanceattribution.Knowingwhetheraportfoli

7、oisunder-orover-performingrelativetothemarketoragivenbenchmarkisimportantinformationforafundmanagerorplansponsor.Knowingwhy—determiningwhatproportionsoftheresultsanindividualportfoliomanagerachievesareduetoluckandtoskill—isacrucial,butelusive,goal.Usingdailydataforperformance

8、measurementandattibutionisthemostaccuratemethodforgaininginsightsint