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I) What is MWR Attribution / IRR Attribution / Profit and Loss Attribution?

Version as of April 2010 => please consider as well presentations.

The following two working papers cover a very controversial discussion in the area of performance measurement. I am dealing with this matter now for some years and do strongly believe that this analytics are very useful if not absolutely necessary to fully understand the drivers of the performance of an asset management account. The first working paper cover the differences between TWR and the MWR as well as a first step to decompose the MWR/IRR. The second working paper illustrates a simple framework for decomposing the MWR/IRR in the well known components: a) benchmark return, b) asset allocation effect, c) stock picking effect and d) interaction effect.

II) Performance Attribution as a Management Control System

Version as of June 2010.

I found this article in the Investment Performance Measurement Newsletter (see Links & RSS) and thought that this article fits perfect to investment controlling - as investment controlling is also dealing with management control systems. Due to the fact that the author Philippe Grégoire is an old „GIPS friend“ I got quickly his permission to publish his working paper on this webpage.

II) Questions to IRR

Last addition in June 2010.

The internal rate of return (IRR) is well known return calculation concept for analyzing the profitability of historical or future investments. This section covers some short working papers addressing specific questions I came around during my research on the IRR and its decomposition.

1.) tbd