The Annualization Of Attribution

Research & White Papers

For Carl Bacon’s Advanced Portfolio Attribution Analysis–Andre Mirabelli, Ph.D.–Annualization is necessary whenever one needs a temporally intensive property that can be used to compare the values of a temporally extensive property describing periods of different duration…

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The Structure And Visualization Of Performance Attribution

The Journal of Performance Measurement--Andre Mirabelli, Ph.D.--This paper presents a simply additive, yet formally exact, approach to multi-period performance attribution. It also introduces a visual representation, which makes this new approach and its relationship to prior approaches intuitively clear.