Macro attribution analysis

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…

Any thoughts?

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

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