I'm looking for a modern description of the linking algorithms used in industry arithmetic performance attribution across multiple periods.

Since the sum of the active return components in arithmetic performance attribution do not tie out with the total active return across all periods, we need a linking coefficient to "sanely" adjust each component contribution to the total active return.

I've been reading up on Jose Menchero's method in his 2004 paper called "Multiperiod Performance Attribution", but I can't find much that is more recent than that. What is being used in the industry today? Anything more "simple" than the optimized linking method described in Menchero's paper?

Thanks for any help!


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