In reviewing the recently answered, below question Multi-Period Contribution I think the top answer (calculating weights at the end of each period) results in a method which does allow for multi-period contribution which can be summed to the top line. Below is a screenshot example based on the linked question above which outlines the approach multiperiod return contribution

So what is happening here is that month 1 return contribution remains unchanged, it is .8*.0125 + .2*.005. Month 2 however is different, i allow the 'policy' weight to drift from 1 to 1.011, then i apply the rebalance weights of 80% asset a and 20% asset b to get 'new' starting month 2 weights of .8088 and .2022 respectively. From there i calculate month 2 returns and things tie exactly.

However, to use this for my work i'm hoping to find at a paper which discusses the pros/cons of this approach and every time i search i get multi-period return attribution and not contribution discussions. Help would be greatly appreciated on naming just what this methodology is precisely.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.