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Arithmetic and Geometric Attribution
Authors: J. Stephen Burnie, James A. Knowles, Toomas J. Teder
Price: $25.00

Detailed Description

Most attribution models are arithmetically formulated and measure the manager's effect as the "value added" or difference between a fund's return and a passive benchmark return.  The authors contend that such models are prone to error and may produce inconclusive results.  This paper illustrates the benefits of employing geometric attribution which defines the "management effect" as the ratio of fund return factor to benchmark return factor.

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