Macro attribution

Does anyone have any tricks to memorize all that mess ? I can’t tell if I don’t understand it or too tired of memorizing to make a valid effort for that section.

Pretty straight forward.

  1. Contributions and withdrawals - people putting money in and out of the fund. Doesn’t relate to investment performance but does increase or decrease ending value.

  2. Risk free rate - if MVo and contributions were solely invested into a RF asset.

  3. Asset categories - incremental returns over RF rate if MVo were invested according to the exact policy of the fund (I.e. with the fund’s benchmarks and proper weighting).

1-3 represent passive returns from the fund’s perspective.

  1. Benchmarks - this is essentially the style return of the managers. They will get different benchmarks from the overall fund that fit their style. It is incremental return over #3. This can also be earned passively but it requires active decisionmaking on the fund’s part and therefore its active returns to them.

  2. Investment management or active returns. This is the incremental value added or lost based on the specific managers out/underperforming their specific benchmarks.

  3. Policy allocations - a plug because typically the fund’s aren’t invested perfectly as it relates to the fund’s policy.

4-5 is active returns from the fund’s perspective relating to style and active management. 6 just rounds it all out to equal MV1