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)...
by TSG | Mar 14, 2011 | attribution, Attribution & Risk, performance measurement, Performance Perspectives Newsletter, Returns, risk
VOLUME 8 – ISSUE 7 March 2011 Download PDF...
by admin | Feb 14, 2011 | arithmetic attribution, attribution, geometric attribution
Here’s a new way to communicate ideas, issues, and controversial topics. Hope you like it!
by admin | Jan 6, 2011 | attribution, performance attribution, private equity
I’ll be teaching a class for a client later this month who asked for some specific topics to be included, one of which is private equity attribution. The challenges with private equity are: They typically don’t have indexes, so we can’t use relative...
by admin | Jan 5, 2011 | attribution, performance attribution
A colleague sent me an interesting question, which I will summarize here: An account has a single cash flow during the month, so there are two sub periods for performance to generate a TWRR. Although we can link the returns to get the full month return, it isn’t...
by admin | Oct 8, 2010 | attribution
I was teaching an attribution class recently, and a student asked for a simple explanation as to why arithmetic attribution effects don’t link (geometric do, which is one of its advantages over arithmetic). The person recognized that the effects don’t...
