Geometric attribution has residuals, too!

Not for┬ámulti-periods, but for single┬áperiods, geometric attribution has residuals! In a recent post about multi-period attribution, I mentioned that while it’s true that arithmetic attribution is “linking challenged,” resulting in residuals that...
What to attribute events to can be a challenge

What to attribute events to can be a challenge

At last week’s North America Performance Measurement, Attribution & Risk (PMAR) conference, I provided an update on research I’m doing on holdings vs. transaction based attribution. Many investment professionals are aware that the holdings based...

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