Portfolio Performance Attribution via Shapley Value

N. Moehle, S. Boyd, and A. Ang

Working paper, February 2021. Revised version to appear, Journal of Investment Management, 2021.

We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many ways to do this, which lead to potentially different attributions in any specific case. We argue that a specific attribution method due to Shapley is the preferred method, and discuss methods that can be used to compute this attribution exactly, or when that is not practical, approximately.