A Structural Comparison of Single-Period Attribution Models

$25

This paper presents several common single-period attribution models within a consistent framework that clarifies their structural similarities and differences.  Models are broadly classified as additive, multiplicative, or hybrid depending on how their attribution effects aggregate within and across asset classes.

Author: Helmut Mausser, Ph.D.

This paper presents several common single-period attribution models within a consistent framework that clarifies their structural similarities and differences.  Models are broadly classified as additive, multiplicative, or hybrid depending on how their attribution effects aggregate within and across asset classes.

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