Hi,
We know that the portfolio return can be broken up into 3 components: P = M + S + A
M = Market index return
S = Excess return to style
A = Active return
Which components of the micro performance attribution (sector allocation, allocation/selection integration, within-sector allocation) are part of the active return ?
More specifically, is the sector allocation a style contribution or an active return contribution ?
Thanks in advance,
Bern |