lcai

Total Rp = Effect of external interest environment + Contribution of active management

Effect of external interest environment consists of
1) unexpected interest rate effects
2) expected interest rate effects.

Contribution of active management consists of
3) Return interest rate return
4) Return on sector mgn
5) Return on security selection
6) Return on trading activities


Active return from duration bet are shown under interest rate mgn effect (3) not under unexpected and expected interest rate effects (1 or 2).

Unexpected interest rate effects and expected interest rate effects shows only passively holding of passive default free bond (treasuries).