Incremental Attribution with and without Notional Portfolios

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One of the most actively discussed areas in performance measurement literature in recent years has been that of linkage-the art (or science?) of combining one-period (arithmetic) attribution results into results that are valid in a multi-period setting.  It is a well-know and well-documented fact that attribution results are not chain-able.

Author: Erik Valtonen

One of the most actively discussed areas in performance measurement literature in recent years has been that of linkage-the art (or science?) of combining one-period (arithmetic) attribution results into results that are valid in a multi-period setting.  It is a well-know and well-documented fact that attribution results are not chain-able.

 

Incremental Attribution with and without Notional Portfolios

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