Mathematics Behind Multilevel Attribution: Keeping Apples and Oranges Separate
$25
A number of papers have been published on the attributions for balanced funds where multiple asset allocation decisions are made during the investment process. This article takes the topic one step further by providing a detailed geometric implementation of a complex multilevel attribution. The author believes this approach can be used to properly allocate value added to all money managers involved in investment process.
Dmitry Cherkasov, CIPM, RBC Global
A number of papers have been published on the attributions for balanced funds where multiple asset allocation decisions are made during the investment process. This article takes the topic one step further by providing a detailed geometric implementation of a complex multi-manager fund attribution. The author believes this approach can be used to properly allocate value added to all money managers involved in investment process.
Dmitry Cherkasov, CIPM, RBC Global
