New Look at Multi-Period Attribution: Solving Rebalancing Issue

$25

Investment professionals have been debating the usefulness of attribution analysis for periods that are shorter than the rebalancing period. The author addresses this issue and attempts to develop a framework that will allow marker practitioners to properly distribute value added between allocation and selection decisions for these shorter periods.

Dmitry Cherkasov, CFA, CIPM, RBC Global Asset Management

 

Investment professionals have been debating the usefulness of attribution analysis for periods that are shorter than the rebalancing period. The author addresses this issue and attempts to develop a framework that will allow marker practitioners to properly distribute value added between allocation and selection decisions for these shorter periods.

 

New Look at Multi-Period Attribution: Solving Rebalancing Issue

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