A Fully Geometric Approach to Performance Attribution
$25
One of the major trends in performance measurement during the late 90’s has been attribution analysis, with that focus zeroing in on the importance of multiple periods. The mission has been to develop sound methodologies that accurately explain the impact of active management decisions. In this paper the author examines the close relationship between geometric and arithmetic calculations and their effects, and uses the analogy to arrive at an intuitive mathematical form for analyzing attribution. He also addresses the issues involved in aggregating the attribution effects across sectors, showing how they can be linked across time.
Author: Jose G. Menchero, Ph.D.
One of the major trends in performance measurement during the late 90's has been attribution analysis, with that focus zeroing in on the importance of multiple periods. The mission has been to develop sound methodologies that accurately explain the impact of active management decisions. In this paper the author examines the close relationship between geometric and arithmetic calculations and their effects, and uses the analogy to arrive at an intuitive mathematical form for analyzing attribution. He also addresses the issues involved in aggregating the attribution effects across sectors, showing how they can be linked across time.
