| 摘要 |
A method for arithmetic and geometric performance attribution which accurately links single-periods attribution effects over multiple periods. The arithmetic attribution method optimally distributes the residual to yield a minimum-distortion residual-free arithmetic attribution system. The geometric attribution method defines the attribution effects in terms of ratios. The arithmetic method determines portfolio performance over multiple time periods as sum of terms of form (R - R)(A + ). In all embodiments, the inventive coefficient (A + ) have smaller standard deviation than conventional logarithmic coefficients, which reduces variation in the weights assigned to each time period relative to the other time periods in the attribution calculation. The method to be performed on the computer having a processor (1), an input device (3) and a display (5). |
