$25.00
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
Description
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
Related products
-
A Four-factor Performance Attribution Model for Equity Portfolios
$25.00 Add to cart -
“A Call to Arms!” The Next Frontier for Taxable Accounts-After- tax Return Performance Attr
$25.00 Add to cart -
A Jigsaw Puzzle of Basic Risk-adjusted Performance Measures
$25.00 Add to cart -
A General Approach for Linking Arithmetic Attribution Results Over Time
$25.00 Add to cart