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...
by admin | Aug 9, 2010 | attribution, Karnosky Singer
Perhaps the best known model to reflect the attribution effects due to currency is the one developed by Denis Karnosky and Brian Singer, both formally of Brinson Partners. The fact that they worked with Gary Brinson is probably part of the reason for its tie in with...
by admin | Aug 4, 2010 | attribution, fixed income attribution
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...
by admin | Jul 20, 2010 | attribution, fixed income attribution
As you’re probably aware, arithmetic attribution results in subperiod effects which are linking challenged; that is, if we attempt to link these subperiod (e.g., monthly) results to obtain longer (e.g., annual) period results, using, for example, simple...
by admin | Jun 1, 2010 | attribution, performance attribution
Most folks in our industry are aware that if you employ a holdings-based model for attribution, you’re subject to residuals creeping in. Residuals are the unexplained differences between the excess return (portfolio return minus benchmark return) and the sum of...
by admin | Apr 30, 2010 | attribution
I’m at the Spring meeting of the North American chapter of the Performance Measurement Forum in Boston. One of the issues that was raised deals with the case when a firm has a different classification structure than the index and the resulting impact this has on...
