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Financial Analysts Journal Volume 61, 2005 - Issue 4
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PERFORMANCE MEASUREMENT AND EVALUATION

Optimized Geometric Attribution

Jose Menchero Jose Menchero, CFA, is head of quantitative research at Thomson Financial, San Francisco.
, CFA
Pages 60-69 | Published online: 02 Jan 2019

References

  • Bacon, C.. 2002. “Excess Returns—Arithmetic or Geometric?” Journal of Performance Measurement, vol. 6, no. 3 (Spring): 23–31.
  • Brinson, G., and N. Fachler. 1985. “Measuring Non-U.S. Equity Portfolio Performance.” Journal of Portfolio Management, vol. 11, no. 3 (Spring): 73–76.
  • Burnie, J., J. Knowles, and T. Teder. 1998. “Arithmetic and Geometric Attribution.” Journal of Performance Measurement, vol. 3, no. 1 (Fall): 59–68.
  • Carino, D. . 1999. “Combining Attribution Effects over Time.” Journal of Performance Measurement, vol. 3, no. 4 (Summer): 5–14.
  • Carino, D. . 2002. “Refinements in Multiperiod Attribution.” Journal of Performance Measurement, vol. 7, no. 1 (Fall): 45–53.
  • Menchero, J.. 2000. “An Optimized Approach to Linking Attribution Effects over Time.” Journal of Performance Measurement, vol. 5, no. 1 (Fall): 36–42.
  • Menchero, J.. 2000/2001. “A Fully Geometric Approach to Performance Attribution.” Journal of Performance Measurement, vol. 5, no. 2 (Winter): 22–30.
  • Menchero, J.. 2004. “Multiperiod Arithmetic Attribution.” Financial Analysts Journal, vol. 60, no. 4 (July/August): 76–91.

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