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 18, 2012 | performance attribution, residuals
One thing I will discuss at this year’s TSG PMAR (Performance Measurement, Attribution & Risk) conferences is the impact of benchmark changes to the attribution residual. While we recognize that the holdings-based model suffers from residuals when...
