Attribution Analysis: Issues Old and New

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Since the original article by Leonid and Anatoly Kirievsky in 2000, some new methods have been proposed to conduct attribution analysis of compound returns under multi-period time intervals, somewhat similar to the Frank/Russell approach analyzed in (Kirievsky and Kirievsky 2000 (KK 2000)).  It is the authors’ intent to compare these methods with those discussed previously and to present their analysis and results.  The authors have formulated the problem of attribution analysis and suggested an approach in greater detail.

Authors: Leonid Kirievsky, Ph.D and Anatoly Kirievsky

Since the original article by Leonid and Anatoly Kirievsky in 2000, some new methods have been proposed to conduct attribution analysis of compound returns under multi-period time intervals, somewhat similar to the Frank/Russell approach analyzed in (Kirievsky and Kirievsky 2000 (KK 2000)).  It is the authors' intent to compare these methods with those discussed previously and to present their analysis and results.  The authors have formulated the problem of attribution analysis and suggested an approach in greater detail.

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