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...
by spaulding | Oct 17, 2014 | arithmetic attribution, attribution, geometric attribution, Performance Perspectives Newsletter
VOLUME 12 – ISSUE 2 October 2014 Download PDF...
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...
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.
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...
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)...
