A Multi-Period Algorithm that has Stood the Test of Time

Description

Wilshire Associates Inc. has been offering clients a returns variance attribution analysis since 1982.  In the past several years, we have seen various authors publish papers on our models and are pleased to discover that in recent articles appearing in The Journal of Performance Measurement, our methodology continues to find acceptance.  For example, Frongello (2002) describes the Wilshire linking algorithm (although he calls it “the Frongello Method”) while Laker calls it “dollar attribution”, perhaps in defernce to 1997 articles by Davies.  Laker notes that the method has been used in the U.K. and Australia “for many years.”  As an institution that has delivered this linking methodology to clients since the early 1980s, we can confirm that our approach is also widely used in Europe, North America, Asia, and South Africa.

A Multi-Period Algorithm that has Stood the Test of Time