Transaction- vs. Holdings-Based Attribution: The Differences Are Bigger Than You Might Think

Investment Risk and Performance Feature Articles
March 2013 | Vol. 2013 | No. 1
Source: CFA Institute
David Spaulding, CIPM



Holdings-based attribution models often fail to fully explain a portfolio’s excess return because of the resulting residuals. Even worse, these models may cause misleading results. It’s one thing to notice that an attribution model hasn’t reconciled completely to the excess return; it’s quite another to be told that a decision contributed to performance when it actually detracted from it.

View more information

Credits · About the CE Program
0 CE (including 0 SER) Manage CE Credits

People who viewed this page also viewed:

Optimized Geometric Attribution
CFA Institute: Financial Analysts Journal
Webcast / Podcast
Pitfalls in Performance Attribution
Other Webcast Series: Trends in Performance Measurement

Loading ...