I have a brain freeze. Is is correct to say that from a macro perspective( fund sponsor level) I will never have weightings different than the benchmark. that is- I will only create incremental return by allocating to diferent asset classes/ benchmarks/investors but they will still represent the overall weighting of the benchmark?
Yes, if you stop at the benchmark level. But if you continue to the investment manager level, then you will have weighting that differ from the BM according to each manager.
smarsh agreed that would be micro attribution.