Money Weighted versus Time Weighted Attribution

Carl Bacon, Chairman writes ‘in one sense there ought not to be too much discussion about the relative merits of money-weighted or time-weighted attribution, the attribution methodology must be consistent with the methodology used to calculate the total return of the portfolio, hence for time-weighted returns use a time-weighted attribution methodology and for money weighted returns use a money-weighted attribution methodology.’

 

Download this white paper



weighted attribution white paper statpro

Share this article