PT - JOURNAL ARTICLE AU - Stuart Morgan TI - Performance Attribution of Options: <em>Defining Single-Stock Option Exposures and Understanding the Brinson-Fachler Effects</em> AID - 10.3905/jpm.2014.40.2.103 DP - 2014 Jan 31 TA - The Journal of Portfolio Management PG - 103--111 VI - 40 IP - 2 4099 - https://pm-research.com/content/40/2/103.short 4100 - https://pm-research.com/content/40/2/103.full AB - There are two well-known methods to calculate the exposure of a single-stock option and the resulting return in order to undertake performance attribution of a portfolio. I discuss these two methods and introduce a third method to calculate exposure for attribution purposes which is both elegant and simple to calculate. I also discuss the resulting Brinson-Fachler attribution effects and how they should be used by a performance analyst for a portfolio which contains equities, options and cash. I conclude that a performance analyst should look at multiple aggregations in order to get a complete picture of a portfolio manager’s effectiveness. The results can easily be extended to portfolios which use different options strategies than the ones discussed.TOPICS: Equity portfolio management, in portfolio management, options