What we mean by nested attribution is the case where the attribution is done down to additional levels. Typically, we see two levels: portfolio and, for example, sector, or asset class. If you want to include lower levels (e.g., subsector), you will typically run into one of two problems:
- you get non-intuitive results
- the subsector effects don't add up to the sector effects.
We will address these challenges, and offer a solution, which we think will prove to be very helpful. To learn more, contact Chris Spaulding or Steve Sobhi.