Transaction-based vs. Holdings-based Attribution: The Devil is in the Definitions

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Our authors have taken a step beyond defining their devil, they introduce us to a new attribution effect called the “trading effect term,” that isolates the return due to operational issues and trading.  They define it as the difference between transaction-based and holdings-based return.

Author: Julia K. Bonafede and Mary Cait McCarthy

Our authors have taken a step beyond defining their devil, they introduce us to a new attribution effect called the "trading effect term," that isolates the return due to operational issues and trading.  They define it as the difference between transaction-based and holdings-based return.

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The Journal of Performance Measurement

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