Using Model Fees to Report Net Returns, Contributions, and Model Fee Effect in Geometric Attribution

The Securities and Exchange Commission (SEC) mandated advisers to report extracted performance on a net basis wherever gross performance is presented. Since computing the actual net returns could be difficult for historical time periods, the SEC allows using a model fee to compute and report net returns. We believe it would be useful to have a framework to compute net returns from the model fee and report linked multi-period net returns, net contributions, and a model fee effect in Geometric attribution.