Exact Multi-Period Performance Attribution Model
$25
This article claims that the research has missed a simple connection which makes it possible to derive the exact attribution effects at any portfolio level and at any point of time. A solution is derived from an analytical approach which makes it superior to even a linking algorithm with a perfect residual fit. Starting with the classic one-period model, the article shows how multi-period performance attribution effects can be derived analytically and how this new approach, without problem, can be extended to a multilevel analysis as well.
Author: Carsten V. Berg