CHAPTER 19Linking Attribution Effects
Calculating attribution effects period by period yields a great amount of information about the portfolio over time. How can these effects be aggregated over time to produce a useful multi-period summary? This chapter addresses this question.
As shown in Chapter 3, the return R over T periods can be calculated from the individual period returns Rt, t = 1, …, T, by the linking formula
Using overbars for the benchmark, the multiperiod benchmark return is
In arithmetic attribution, the single-period return difference ...