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When trying to recreate this chart from Deutsche on contribution to compound returns of an asset class I'm using log returns of each percentile group (bottom, mid, top), take the sum and divide each of them by the sum of the full return series.

I don't know how to get from there to this chart or if that's even the right way to do it. Any ideas? Thank you

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Difficult to explain in words. I have made an excel spreadsheet that replicates what you want (using US stock market equities). See two screenshots below:

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enter image description here

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  • $\begingroup$ Yes awesome and then the author just rebases the proportions by the absolute sum to get to the units used in their axis I presume $\endgroup$
    – Bball
    Commented Jul 22, 2023 at 10:26
  • $\begingroup$ That's correct. $\endgroup$
    – phdstudent
    Commented Jul 23, 2023 at 19:22

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