Performance Attribution Against Transient Buckets

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For performance attribution results to be informative, its application must follow the investment process itself. Applying traditional performance attribution methodologies against transient buckets may likely provide specious information. This article succinctly presents and then mitigates/solves this problem. This article’s brevity is based upon the reader’s general familiarity with top-down performance attribution methodologies.

Author: Timothy P. Ryan

For performance attribution results to be informative, its application must follow the investment process itself. Applying traditional performance attribution methodologies against transient buckets may likely provide specious information. This article succinctly presents and then mitigates/solves this problem. This article's brevity is based upon the reader's general familiarity with top-down performance attribution methodologies.

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The Journal of Performance Measurement

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