Tricia Nelson Bailey, of Waddell & Reed, and I will conduct a webinar later this month (February 26, @ 11 AM EST) on nested attribution.
What we mean by nested attribution is the case where the attribution is done down to additional levels. Typically, we see two levels: portfolio and, for example, sector, or asset class. If you want to include lower levels (e.g., subsector), you will typically run into one of two problems:
- you get non-intuitive results
- the subsector effects don’t add up to the sector effects.