tag:blogger.com,1999:blog-2568941354104807757.post2421485520531771356..comments2023-10-05T09:07:24.225-04:00Comments on Investment Performance Guy: What's wrong with holdings-based attribution?Dave Spauldinghttp://www.blogger.com/profile/01777929408680234896noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-2568941354104807757.post-7105364000411151232012-03-04T08:32:00.205-05:002012-03-04T08:32:00.205-05:00Andre, thanks for your note, though I'll admit...Andre, thanks for your note, though I'll admit greater faith in the abilities of a transaction-based Brinson-Fachler, with Modified Dietz or IRRDave Spauldinghttps://www.blogger.com/profile/01777929408680234896noreply@blogger.comtag:blogger.com,1999:blog-2568941354104807757.post-2700934120825829082012-03-04T02:17:28.488-05:002012-03-04T02:17:28.488-05:00David,
You are definitely correct that attribution...David,<br />You are definitely correct that attribution can dangerously mislead the executers of an investment process if it employs holdings-based performance. However, simply replacing holdings-based performance with any old trade-inclusive performance calculation might be jumping out of the frying pan and into the fire. Your warnings about holdings-based performance need to be extended to all the various versions of Dietz calculations since they each also have documented fatal flaws. And IRR is no help since it does not provide the weights that are required by attribution. Reliable attribution results can only be obtained by employing more advanced performance methodologies. To the extent to which investment professionals want/need to understand the sources of their performance, it is necessary that they calculate component-level performance correctly.<br />AndreAndre Mirabellihttps://www.blogger.com/profile/08686401203152393725noreply@blogger.com