The bane of the performance analyst
Abnormal Returns are defined here as a return that appears to misrepresent the true economic performance of the asset being measured. Considerable time and effort may need to be expended in providing adjustments, workarounds and/or explanations to the recipients of the performance results, adding to performance data management overhead within investment management firms.
In some cases, the workarounds may cause inaccuracies in the attribution analysis downstream. The authors describe an approach which enables meaningful returns to be calculated, whilst maintaining consistency and accuracy for further analysis.