Performance Attribution with Consistency and Depth

$25.00

Performance attribution, particularly the arithmetic variety, has had a number of challenges illuminated.  These exposes are part of a normal development cycle. The intent of this article is to present additional challenges that fall under the consistency label and offer two proposals towards solutions or mitigations.

Author: Timothy P. Ryan

Performance attribution, particularly the arithmetic variety, has had a number of challenges illuminated.  These exposes are part of a normal development cycle. The intent of this article is to present additional challenges that fall under the consistency label and offer two proposals towards solutions or mitigations.  The last of these proposals, which is an extension of the first, has the added benefit of extending performance attribution's depth of analysis from the aggregate levels through to the security levels while still maintaining consistency throughout.  The best application of these proposals, and the primary target of the article itself, is to single asset class portfolios managed  by one decision maker/portfolio manager.

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