Various Ex-Post Financial Contributions to a Return and the Different Questions They Address

Abstract

The author presents a framework for specifying and comparing different versions of the calculation of the ex-post “contribution to a return” financial performance measure for each of three levels of application. Employing this framework, the author analyzes a conceptually complete set of versions within each level in order to determine which version best coherently captures the intuitive intent in applying the measure at that level. Specifically, the three levels that the author will explicate are the ex-post contribution of 1) the return of a component of a portfolio on a day to the portfolio’s total return for that day, 2) the total return of a portfolio on a day to a portfolio’s total return for a multi-day period, and 3) the return of a component of a portfolio on a day to a portfolio’s total return for a multi-day period.