Return Attribution of Actively Managed or Time-Varying Portfolios

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In this paper, the authors propose a new method for return attribution in multiple periods.  Several methods have been proposed in the literature (e.g. Carino (1999), Frongello (2002a), Menchero (2000), Davies and Laker (2001), which have been the cause of a heated debate among practitioners (e.g. Laker (2002),  Frongello (2002b)).  Acknowledging that it may be premature to speak of an “exact” or superior method, they feel that the method presented in this paper is both more general and straightforward than previously published methods.

Authors: Birgir Orn Arnarson, Ph.D., Steingrimur Karason Sc.D., Haraldur Oskar Harladsson, Ph.D., and Hrafnkell Karason Ph.D.,

In this paper, the authors propose a new method for return attribution in multiple periods.  Several methods have been proposed in the literature (e.g. Carino (1999), Frongello (2002a), Menchero (2000), Davies and Laker (2001), which have been the cause of a heated debate among practitoners (e.g. Laker (2002),  Frongello (2002b)).  Acknowledging that it may be premature to speak of an "exact" or superior method, they feel that the method presented in this paper is both more general and straightforward than previously published methods.

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