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Linking attribution results over time is a common business requirement in the analysis of asset management activities. Yet, there is no agreed upon standard for which method to use, although “triple sum linking” seems popular. The author proposes a general framework for linking attribution.
Author: Mikael Broberg
Description
Linking attribution results over time is a common business requirement in the analysis of asset management activities. Yet, there is no agreed upon standard for which method to use, although “triple sum linking” seems popular. The author proposes a general framework for linking attribution. He also presents an alternative method for linking attribution over time, and in doing so makes extensive use of so-called contribution terms. In conclusion, the author discusses the advantages of this alternative method compared to triple sum linking.
A General Approach for Linking Arithmetic Attribution Results Over Time
