by admin | Dec 8, 2011 | attribution, performance attribution
I got an email from a client recently, asking how one should treat the case where a manager has zero exposure to one of the sectors in the benchmark.If you are using one of the Brinson models and simply use the formulas as written, you’ll find that the...
by admin | Dec 1, 2011 | attribution
I got an email from someone today asking how to calculate transaction-based attribution. I addressed this during our recent Attribution Week, but will touch on it briefly here, and in greater detail in this month’s newsletter.Recall that attribution relies on...
by admin | Aug 2, 2011 | attribution, interaction
I had a conversation with a client last week, where we addressed a variety of aspects regarding performance attribution. They asked how common it is for firms to report their interaction effect. While I don’t believe we’ve addressed this question in any of...
by admin | Jun 9, 2011 | attribution, currency
In yesterday’s Wall Street Journal, the editorial writer Holman W. Jenkins, Jr. wrote a piece about Goldman Sachs, explaining how they, and their chairman, Lloyd Blankfein, are being vindicated, as the SEC’s attempt to shift attention from their (the...
by TSG | May 14, 2011 | attribution, Performance Perspectives Newsletter
VOLUME 8 – ISSUE 9 May 2011 Download PDF...
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)...
