Sector-level Attribution Effects with Compounded Notional Portfolios

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One of the drawbacks most commonly cited in criticism of the arithmetic, multi-period attribution linking method known as “compounded notional portfolios” (CNP) or “exact multi-period Brinson” is its lack of allowance for linking attribution effects at the sector level.

Author: Mark R. David

One of the drawbacks most commonly cited in criticism of the arithmetic, multi-period attribution linking method known as "compounded notional portfolios" (CNP) or "exact multi-period Brinson" is its lack of allowance for linking attribution effects at the sector level.

Sector-level Attribution Effects with Compounded Notional Portfolios.

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