Macro Attribution: Is benchmark level active or passive?

[paul1977]

One of the components of macro attribution is benchmark level. It relates to +/- returns from style. Is this active or passive return?
The material is unclear on this point. Obviously asset categories is passive, and Investment managers is active, but benchmark level inbetween is a grey area for me…

 

[stunnerrunner]

Benchmark level is passive. It’s the weight on the category (ex: equities) times the asset class weight (ex: large cap) times the difference between the benchmark on the asset class (large equities) minus the return on the asset categories (equities).

 

[waldziuchna]

are calculations in macro attribution an option on th am exam? they provide us with formulas, but virtually no examples. What do you think?

 

[kobi]

asset categories is passive = SAA
benchmark level = TAA, so I’d say it’s passive with a bit of active flavour difficult to categorize, although for sure there is some discretion of manager in TAA
Investment managers is active