Using Model Fees to Report Net Returns, Contributions, and Model Fee Effect in Geometric Attribution
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Using Model Fees to Report Net Returns, Contributions, and Model Fee Effect in Geometric Attribution
Ian Thompson, Ph.D., BNY Mellon and
Satheesh Jagannathan, CFA, CIPM, BNY Mellon
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.