Multiple-Period Attribution: Residual and Compounding
Author: Brian D. Singer, Miguel Gonzalo, Marc Lederman
Our reviewer gave these authors "ful marks for dealing with an issue that performance measurers and vendors often regard as propiertary information." In 1994, Denis S. Karnosky, Ph.D. and Brian D. Singer, CFA wrote "Global Asset Management and Performance Attribution", a monograph that offers a performance attribution system for isolating the effects of market allocation, currency management, and security selection on global portfolios. In response to public inquiries about this method, the authors composed the following article, which addresses several issues, and describes the implementation of the methodology over multiple periods.
Multiple-Period Attribution: Residual and Compounding.