Multiple-Period Performance Attribution Using the Brinson Model

$25.00

Currently, articles about multiple-period performance attribution abound.  This paper argues that calculating fund-level attributes over multiple periods in additive models, such as the Brinson model, is a relatively straight-forward process with a demonstrably exact solution.  While approximate methods are still necessary for calculating sector-level attributes, this paper suggests that the comparison of different approximate methods should address the existence of an exact solution at the fund level.

Author: Damien Laker and Owen Davies

Currently, articles about multiple-period performance attribution abound.  This paper argues that calculating fund-level attributes over multiple periods in additive models, such as the Brinson model, is a relatively straight-forward process with a demonstrably exact solution.  While approximate methods are still necessary for calculating sector-level attributes, this paper suggests that the comparison of different approximate methods should address the existence of an exact solution at the fund level.

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