Errors in Transaction-based Performance Attribution-

$25.00

This paper has a simple and valid point to make: Attribution which relies on the Modified Dietz method is prone to distortions and those distortions become greater as we measure smaller pieces of the portfolio.  This causes transaction-based attribution to be potentially less accurate than holdings-based attribution.

Jose Menchero Ph.D., CFA, Thomson Vestek and
Junmin Hu, Ph.D., Thomson Vestek

This paper has a simple and valid point to make: Attribution which relies on the Modified Dietz method is prone to distortions and those distortions become greater as we measure smaller pieces of the portfolio.  This causes transaction-based attribution to be potentially less accurate than holdings-based attribution.

 

Errors in Transaction-based Performance Attribution -

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