Performance Perspectives Blog

Attribution standards

by | Aug 4, 2010

Someone e-mailed me this week asking about the status of attribution standards. He cited my article, “A Case for Attribution Standards” (Journal of Performance Measurement, Winter 2002/2003) and wondered if any progress has been made. Sadly, no.

When the Performance Measurement Forum developed our draft standards close to a decade ago we hoped they would spur some interest and an endorsement, but this hasn’t occurred.

Since the release of the article and the draft, a French group (GRAP) released guidelines for fixed income attribution and the European Investment Performance Council also provided guidelines.

There was much confusion when the subject of standards was first broached, with some interpreting the idea as defining what type of model, for example, one must use. But rather the idea is about disclosure: that is, for firms that employ attribution to disclose how they do it (e.g., arithmetic or geometric; holdings- or transaction-based; which model).

Perhaps this inquiry and some additional discussion might inject some renewed interest in this concept.

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