In addition, my understanding of geometric excess return is different comparing to Andre Mirabelli’s statement. Geometric excess return should be calculated, first converting the returns to decimal numbers and then add 1 to both the portfolio and index decimal numbers. Take the portfolio results, divided by index results, subtract 1 and finally multiple by 100.

( [ (1+{Portfolio return/100}) / (1+{Index return/100}) ] – 1 ) * 100

Finally, there are two different Brinson models (Brinson Fachler and Brinson Hood Beebower). Although the excess returns are broken down identically (between allocation and sector returns), and the computation are completely different.

tyc