Any chance these formulas show up?
I hope so 
It really is easy once you get your head wrapped around it.
There is a lot I need to get my head wrapped around…
haha
Question on micro attribution: For the formula for calculating within sector allocation returns, do we use the security weight of the benchmark or the weight of the portfolio? Also, this is the same as the return from security selection, right?
Benchmark
Asset Category = SUM[Asset Category (AC) Weight * (Category Benchmark Return - Rf rate)] Benchmark (Style) = SUM[AC Weight * Mgr’s wght Within AC * (Mgrs Benchmark return - AC Benchmark return)] Investment Mgmr (Active) = SUM[AC wght * Mgr’s wght within AC * (Mgr’s Actual Return - Mgrs Benchmark Return)]
OH AT you’re referring to Micro on that one…
AnalyseThis Wrote: ------------------------------------------------------- > Question on micro attribution: > > For the formula for calculating within sector > allocation returns, do we use the security weight > of the benchmark or the weight of the portfolio? > Also, this is the same as the return from security > selection, right? Depends on the reading… there are two that cover micro- and the one that factors in currency actually groups the allocation / interaction within the security selection component (a common approach in practice). That is achieved by using the portfolio weight instead of the benchmark weight. One more thing for us to remember…
Ohh… thanks! That’s what threw me over.