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The truth behind geometric attribution and residuals

by David Spaulding | Jul 11, 2016 | geometric attribution, arithmetic attribution, attribution, Investment Performance Guy

  My friend, occasional sparring partner, Statpro chairman, and recently inducted member to the Performance & Risk Measurement Hall of Fame, Carl Bacon, CIPM and I recently engaged in a brief exchange via blog messages regarding the presence of residuals in...
Performance Perspectives – October 2014

Performance Perspectives – October 2014

by TSG | Oct 17, 2014 | arithmetic attribution, attribution, geometric attribution, Performance Perspectives Newsletter

VOLUME 12 – ISSUE 2 October 2014 Download PDF...

Geometric attribution has residuals, too!

by David Spaulding | Aug 11, 2014 | arithmetic attribution, attribution, attribution linking, benchmarks, geometric attribution, Investment Performance Guy, News, performance attribution, residuals

Not for multi-periods, but for single periods, geometric attribution has residuals! In a recent post about multi-period attribution, I mentioned that while it’s true that arithmetic attribution is “linking challenged,” resulting in residuals that...

A Campisi Perspective on the Brinson Models

by admin | Apr 11, 2011 | arithmetic attribution, performance attribution

Steve Campisi returns as both a “guest blogger” and “guest animator,” sharing some of his insights on the Brinson models. I’m sure you’ll find his commentary of value.
Attribution: a matter of perspective

Attribution: a matter of perspective

by admin | Apr 7, 2011 | arithmetic attribution, money-weighting, time-weighting

While I often speak of returns being a matter of perspective (that is, whether we’re speaking about how the manager did or how the portfolio or client did) to determine whether time- or money-weighting should be used, the same holds true with attribution. I was...
Attribution analysis … when the numbers don’t add up!

Attribution analysis … when the numbers don’t add up!

by admin | Mar 18, 2011 | arithmetic attribution, attribution

I was sent an attribution problem by a client to research for them. The details appear here:I’ve highlighted the issues they were concerned with. First, in yellow we find that the technology sector’s allocation effect is positive (0.222%), even though (a)...
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