A Model for a Global Investment Attribution Analysis

$25.00

This article proposes a method for global investment attribution.  This method can be applied to equity portfolios when portfolios are composed of asset traded in different currencies, active currency management strategies, and other investment policies.  This method considers the problem of computing and the decomposition of rates of return for such investment portfolios with multiple currencies, and provides a detailed and complete study of mathematical aspects, illustrated by a numerical example confirming the validity of the analytical results.

Author: Yuri Shestopaloff, Ph.D., SegmentSoft, Inc.

Description

This article proposes a method for global investment attribution.  This method can be applied to equity portfolios when portfolios are composed of asset traded in different currencies, active currency management strategies, and other investment policies.  This method considers the problem of computing and the decomposition of rates of return for such investment portfolios with multiple currencies, and provides a detailed and complete study of mathematical aspects, illustrated by a numerical example confirming the validity of the analytical results.

A Model for a Global Investment Attribution Analysis

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