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Title
An Optimized Approach to Linking Attribution Effects Over Time.
Authors
Menchero, Jose
Abstract
Attributing the excess return of a portfolio relative to a benchmark is quickly becoming a distinct art form. Although single periods are comparatively easy to analyze, extending the analysis across multiple periods is challenging because distortion effects can lead to misleading results. The author analyzes the problem and offers possible solutions.
Publication
Journal of Performance Measurement, 2019, Vol 24, Issue 1, p62