$25.00
Here we present another view of interaction: it is a spurious effect resulting from incorrect attribution analysis. The author suggests that interaction is always a component of the selection effort and provides both logical and numerical defenses of this argument.
Author: Stephen Campisi
Description
How to handle the interaction effect has been a topic of much discussion among performance analysts and especially with clients. Some have defended the usefulness of the interaction effect and have suggested ways to explain it as an independent and significant attribution factor. Here we present another view of interaction: it is a spurious effect resulting from incorrect attribution analysis. The author suggests that interaction is always a component of the selection effort and provides both logical and numerical defenses of this argument.
Debunking the Interaction Myth
Related products
-
A Case for Arithmetic Attribution
$25.00 Add to cart -
A Case for Fixed Income Holdings-Based Attribution: Techniques for Achieving Cleaner Results
$25.00 Add to cart -
A New Approach to the Decomposition of Yield Curve Movements for Fixed Income Attribution
$25.00 Add to cart -
A Framework for Evaluating Hedge Fund Risk
$25.00 Add to cart