Cumulative Frongello-Equivalent Attribution

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I present an arithmetic decomposition of cumulative relative performance into cumulative attribution factors, using geometric relative performance. Somewhat surprisingly, it turns out to be equivalent to the Frongello method for multi-period benchmark-relative attribution based on arithmetic relative performance.

Cumulative Frongello-Equivalent Attribution

Timothy Svenson, Ph.D., Funds SA

Cumulative Frongello-Equivalent Attribution

I present an arithmetic decomposition of cumulative relative performance into cumulative attribution factors, using geometric relative performance. Somewhat surprisingly, it turns out to be equivalent to the Frongello method for multi-period benchmark-relative attribution based on arithmetic relative performance.1 However, starting with geometric cumulative relative performance yields a derivation that is easier to understand and produces results that can be used more fully.

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