Article published in the Journal of Performance Measurement - Summer 2010

Why Have an Attribution Model to Breakout the Investment Decisions When the Answer is Explicit?
Advocating a Decision-based Approach to Attribution
By Jem Tugwell, Jem Tugwell Associates Limited

Published this summer, Jem's article argues that Attribution approaches are based on models and approaches that do not reflect the modern portfolio, system or computing capability. Historically, all of the decisions made in a portfolio are consolidated into a total portfolio, with an attribution model then attempting to determine which decisions were made and which added positive returns. The article presents an alternative approach: don’t aggregate and then attempt to disaggregate, just use the trades themselves, as every decision is executed in the trades. The objective of the article is to provide a detailed view on how this can provide a dynamically different and viable methodology.