Geometric Issue and Sector Selection for Performance Attribution
12 Pages Posted: 16 Jun 2009
Date Written: May 17, 2002
Abstract
This paper represents an overview of the fully geometric approach to performance attribution developed by Menchero of Vestek. In addition to providing further insights into the subtleties involved with geometric attribution, two new fully geometric approaches to attributions are provided. The first represents a slight extension of that provided by Menchero. The second constitutes a slight extension of the exponential approach developed by Carino of the Frank Russell Company. The advantages of the extended exponential approach include absolute transparency in interpretation of the results as well as a direct parallel to the algebraic approach.
Keywords: Performance Measurement and Evaluation, Performance Attribution
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