Multi-Currency Performance Attribution

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The two main drivers of global investment performance are local asset returns and currency exchange rate returns.  These two sources represent distinct investment decisions, and should be attributed independently, as argued by Singer and Karnosky.  This article presents a refined and generalized version of the Singer-Karnosky model for multi-currency attribution.

Authors: Jose Menchero, Ph.D., MSCI and Ben Davis, Ph.D., MSCI

The two main drivers of global investment performance are local asset returns and currency exchange rate returns.  These two sources represent distinct investment decisions, and should be attributed independently, as argued by Singer and Karnosky.  This article presents a refined and generalized version of the Singer-Karnosky model for multi-currency attribution.

 

Multi-Currency Performance Attribution

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