Multiple-Period Performance Attribution Using the Brinson Model
$25
Currently, articles about multiple-period performance attribution abound. This paper argues that calculating fund-level attributes over multiple periods in additive models, such as the Brinson model, is a relatively straight-forward process with a demonstrably exact solution. While approximate methods are still necessary for calculating sector-level attributes, this paper suggests that the comparison of different approximate methods should address the existence of an exact solution at the fund level.
Author: Damien Laker and Owen Davies
Currently, articles about multiple-period performance attribution abound. This paper argues that calculating fund-level attributes over multiple periods in additive models, such as the Brinson model, is a relatively straight-forward process with a demonstrably exact solution. While approximate methods are still necessary for calculating sector-level attributes, this paper suggests that the comparison of different approximate methods should address the existence of an exact solution at the fund level.
