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Karnosky Singer Attribution: A Worked Example
Jan 1, 2003
In 1994, Denis Karnosky and Brian Singer published the monograph "Global Asset Management and Performance Attribution". It described a method for multicurrency performance attribution that had certain advantages. The principal advantage of the method was demonstrated in several examples that showed that the Karnosky-Singer (or 'KS') model would reward optimal active portfolio 'bets', while more traditional approaches to multicurrency attribution would reward non-optimal bets. This document works through one of those examples with a view to helping performance analysts explain to their colleagues the strengths and weaknesses of the Karnosky-Singer model.
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