Performance & Attribution

Question 1

Asset Category Attribution

Answer 1

= sum of {(asset class bm return - RFR) x asset class weight}

Question 2

Benchmark Attribution

Answer 2

sum of {(manager bm return - asset class bm return) x manager weight }

mgr weight is % of total portfolio

Question 3

Investment Manager Attribution

Answer 3

sum of {( return of manager - return of mgr bm) x manager weight}

mgr weight is % of total portfolio

Question 4

Pure Sector Allocation

Answer 4

sum of {[active sector weight) x (bm sector return - port bm return) }

active sector weight = port sector weight - bm sector weight

Question 5

Within-Sector Selection Impact

Answer 5

sum of {(port sector return - bm sector return) x (bm sector weight) }

Question 6

Allocation/Selection Interaction Impact

Answer 6

sum of { (active sector weight) x (active sector return) }

active sector weight = port sector wt - bm sector wt
active sector return = port sector return - bm sector return