Money Weighted Versus Time Weighted Attribution

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1 MARCH 2012
  

a broader debate on the merits of each return methodology

Carl Bacon, Chairman writes ‘in one sense there ought not to be too much discussion about the relative merits of money-weighted or time-weighted attribution, the attribution methodology must be consistent with the methodology used to calculate the total return of the portfolio, hence for time-weighted returns use a time-weighted attribution methodology and for money weighted returns use a money-weighted attribution methodology.’