Comparing Performance Attribution Linking Methods: An Empirical Study
22 Pages Posted: 9 Jul 2014
Date Written: July 7, 2014
A number of methods have been developed to link single-period arithmetic attribution results. We present the first institutional portfolio empirical study comparing the most referenced methods for producing additive multiperiod attributes from their single-period counterparts. While our findings suggest the methods typically produce similar results, we find a pattern in the way the methods’ results relate to one another. We find the Modified Frongello Method and Cariño Method to produce nearly identical results, the Frongello and Cariño methods to cluster and the Naïve and Menchero methods to be outliers.
Keywords: Attribution, Alpha, Institutional Portfolios, Endowments, Active Management, Attribution Linking, Asset Allocation
JEL Classification: G11, G2, G23
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