Annualizing Returns, Contributions, and Attribution Effects

Annualizing Returns, Contributions, and Attribution Effects
David Suarez, CFA, Refinitiv

Performance attribution returns, contributions, and effects are most often presented on a cumulative basis, even when time horizons greater than one year in length are selected by the user. While annualizing returns is a trivial exercise, this paper introduces a novel approach to annualizing contributions and attribution effects through the use of scaling factors that is applicable to both arithmetic and geometric attribution models.