CIM Allocation Attribution Methodology

The purpose of attribution, in general, is to explain a portfolio’s total return (or excess return to a benchmark) by attributing portions of it to various factors.

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Posted on 07.31.24

If the factors chosen relate to the key portfolio management decisions (whether intentional or unintentional) made at the beginning of the return period, attribution can be used to evaluate in hindsight the effectiveness of those decisions.

This whitepaper covers

Attribution in CIM
One and Two-Level Attribution
Order Dependence of Hierarchy Levels
Handling of Empty Segments
Handling of Multiple Sub-periods

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