Why do they use portfolio weighting for global, but benchmark weighting for micro?
Security Selection? It’s more a convention than a theory.
Micro Attribution is a more fine-grained attribution. By using benchmark weight, you get an extra component: interaction of sector alloc/security selection. Global Attribution is more concerned about the currency contribution than the interaction between market alloc and security selection, so it simply uses portfolio weight.
It’s two different attribution models. I’ve posted on this topic previously, will see if I can find it.
Thanks, darkstar.