This article presents a set of qualitative characteristics and quantitative properties for arithmetic multiperiod performance attribution. Such characteristics and properties are essential for ensuring a sound and accurate linking of attribution effects over time. A comparison of various linking algorithms within this framework shows that linking algorithms that are not consistent with this set of quantitative properties can exhibit spurious effects that distort the attribution analysis.
Read the Complete Article in Financial Analysts Journal
Financial Analysts Journal
CFA Institute Premium Member Content
This is available to the following CFA Institute membership classes: CFA charterholders, Professionals, and Affiliates.