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 ...

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