Monday, April 5, 2010
What does "daily attribution" mean?
As I mentioned in March's newsletter, when it comes to transaction-based attribution there is no reason to calculate the effects daily: monthly works fine. But what if someone wants to report attribution ending (and/or beginning) for a day other than month-end? Not a problem: you just value the portfolio as of that date and calculate the effects between that point and the prior (or ending, if it's the starting point) month end, taking into consideration the trading that occurs in the interim.
Why should a prospect care whether or not you actually calculate the effects daily? They should be concerned with the ability to report from any date to any date accurately, and this can be achieved without calculating daily effects.
And, as I mentioned previously, this doesn't apply to holdings-based, where more frequent processing is required to ensure a better degree of accuracy.