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Multiperiod arithmetic attribution

delete2019-01-02
delete13
PRE
AI
M
Menchero, J *
DOI:10.2469/faj.v60.n4.2638delete
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摘要

摘要

En 中文
This article presents a set of qualitative characteristics and quantitative properties for arithmetic multiperiod performance attribution. Such characteristics and properties are essential for ensuring a sound and accurate linking of attribution effects over time. A comparison of various linking algorithms within this framework shows that linking algorithms that are not consistent with this set of quantitative properties can exhibit spurious effects that distort the attribution analysis.
Keyword:
PERFORMANCE
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期刊

F
Financial Analysts Journal
IF:
2.2
论文数:
1.2K
被引数:
3.1K

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