Valores

I wanted to write my "new finding" on Multi-period Performance Attribution, but I found it's not new.

Check out AMC's answer above:

1. Rp - Rb = (1+Rp1) x(1+Rp2) - (1+Rb1) x(1+Rb2) is much easier !

where, Rp1=Ra1+Rb1; Rp2=Ra2+Rb2.

Schweser's version: R(A2)=Ra1*(1+Rb2)+Ra2*(1+Rp1)

In fact, R(A2) = Rp-Rb !!



Edited 1 time(s). Last edit at Tuesday, April 19, 2011 at 01:52PM by deriv108.