3. As discussed in Chapter 69, attribution over longer periods of time requires compounding attribution results over smaller periods. The length of a single period should be consistent with the management style of the portfolio. Actively managed portfolios should use a short period, typically one day. Buy and hold portfolios should use longer periods such as one month or even one year. The algorithm we describe here can be applied for arbitrary period lengths. Nevertheless, bear in mind that using pricing analytics to manage exposure typically indicates an active management style which more often than not requires daily portfolio actions and therefore daily compounding of attribution results.

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