This article decomposes the multi-level attribution process into a series of steps that can be applied to various types of portfolios. The purpose of the approach followed in this article is to provide end users with a fundamental understanding of the multi-level workflow that includes the implementation of a beta portfolio, which will help us dissect each component of value-added over the benchmark.

Jacob Fairfield, RBC Global Asset Management
Dmitry Cherkasov, CFA, CAIA, CIPM