Comparing Performance Attribution Linking Methods: An Empirical Study

22 Pages Posted: 9 Jul 2014

See all articles by Yindeng Jiang

Yindeng Jiang

University of Washington Investment Management Company

Joseph Saenz

University of Washington - Investment Management

Date Written: July 7, 2014

Abstract

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

Suggested Citation

Jiang, Yindeng and Saenz, Joseph, Comparing Performance Attribution Linking Methods: An Empirical Study (July 7, 2014). Available at SSRN: https://ssrn.com/abstract=2463378 or http://dx.doi.org/10.2139/ssrn.2463378

Yindeng Jiang

University of Washington Investment Management Company ( email )

Seattle, WA 98195
United States

Joseph Saenz (Contact Author)

University of Washington - Investment Management ( email )

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