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作者: Unforseen 时间: 2011-7-11 19:26
This 2 concepts where presented in the same session. According to page 158:it is said that value-added return = active return. In others words, the 3 components of the micro-attribution are part of the active return....作者: oneboy 时间: 2011-7-11 19:26
I think the value -added return is true active return = actual return -nomal benchmark
so the micro is based on true active return
Sector Allocation manager's work overwight or underwight
Within-Sector Allocation security selection analyst's work
Allocation/Selection more complicated and interactive
