Using CVDATA what’s the best method to calculate index contributions for index ranking purposes?
For a given index set will the sum of the individual index gain contributions equal the gain of the total index set over a baseline of basic strategy while accounting for SE? Assume the same betting strategy is employed in all sims. Two methods tried: a) subtraction of each index from the total set to determine contribution and, b) adding the index to a Basic Strategy baseline to find contribution. I expected method (a) would be the most accurate but when reconciling the sum of contributions method (b) had the least error and the rankings were not the same between the two methods.
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