Macro attribution analysis

[June06]

Do we need to calculate all of them and sum them up?
1. Net contributions.
2. Risk-free asset.
3. Asset categories.
4. Benchmarks.
5. Investment managers.

6. Allocation effects.

Micro analysis is easier…

 

[June06]

Any thoughts?

 

[Rogue Trader]

Yes. There are six levels of performance allocation, each requiring a higher level of risk tolerance.Everything above the line comes from something other than pure tracking a broad market index.
Allocation Effects: Residual return due to various imprecise allocation
Investment Managers: Alpha generated above style benchmark (allocatio
Benchmarks: Passive investment in relevant style benchmark
Asset Category: Any asset allocation other than 100% risk-free
Risk-free Rate: Safest possible return (minimum acceptable)
Net Contributions: Cash flows invested at the zero-rate

 

[June06]

Wow, thanks Rogue. After one year…you still remember this, amazing