I would appreciate it if someone could help me tackle this problem.
I have daily data of returns for my portfolio, daily weights accounting for various portfolio changes.
Could someone explain how I can perform attribution analysis (Asset Allocation and Stock Selection effects) over a period (i.e. 01/01/2020 to 30/09/2020) using Arithmetic Excess Returns (while also accounting for the portfolio changes)?
I have managed to do it via Geometric Excess Returns, however, this is not industry standard and explaining to clients will be difficult!