Multi-Currency Performance Attribution

摘要: The two main drivers of global investment performance are local asset returns and currency exchange rate returns. These sources represent distinct decisions, should be attributed independently, as argued by Singer Karnosky. This article presents a refined generalized version the Singer-Karnosky model for multi-currency attribution. In particular, authors explicitly account cross product, thus fully explaining portfolio Moreover, methodology in this attributes component with complete generality, naturally accounts leverage, cleanly handles cases where cash return differs from risk-free rate.