Good day
I would like some assistance on the calculation to work out how much a particular share’s return has contributed to an index return over a period of time.
I have data on the underlying share: number of shares in the index, price and index weight. I have price data on the index. Would I need more data?
How do I perform this performance attribution to work out how much of the index return is from this particular share?
Thanks!
Serving the Quantitative Finance Community
Re: Calculation of a single share contribution to an index return over time
Isn't it just Heaviside of share's return times its weight ?
Re: Calculation of a single share contribution to an index return over time
has the weighting changed over the period?