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JOURNAL OF ACCOUNTING AND FINANCE
Return Attribution: A Modified Bootstrapping Approach
Author(s): John M. Geppert, Donna M. Dudney
Citation: John M. Geppert, Donna M. Dudney, (2013) "Return Attribution: A Modified Bootstrapping Approach," Journal of Accounting and Finance, Vol. 13, Iss. 4, pp. 11 - 22
Article Type: Research paper
Publisher: North American Business Press
Abstract:
The return to an investment strategy results from the combined effect of three types of decisions: (1)
which assets to consider (selection), (2) the proportion of wealth to allocate to each asset (allocation) and
(3) when to rebalance the portfolio (rebalancing). In this paper, we develop an easy to implement,
bootstrapping procedure which can disentangle the total ex-post investment return into its component
parts. Rebalancing results in transactions cost that partially offset returns. Our procedure allows one to
assess ex-post whether the additional cost of rebalancing is justified by higher returns.
