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Talk:Performance attribution

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Latest comment: 12 years ago by Nairbv

I'm not sure why people keep messing with this, but my original changes were correct. The current numbers in the attribution grid are/were not correct (trying to fix them again). Asset Allocation does not include differences in returns between portfolio and benchmark, it's purely a measure of allocation effects. The explanation provided is wrong. See: http://corporate.morningstar.com/us/documents/MethodologyDocuments/MethodologyPapers/AttributionMethodology.pdf, or view the references in the wiki article, and do it out in Excel before editing the grid. Simplistically: allocation = difference in exposure * the _benchmark_ returns. selection = difference in return * the _benchmark_ exposure. total active = (port exposure * port return) - (bench exposure * bench return) interaction = the part of total active not explained by allocation or selection.  Preceding unsigned comment added by Nairbv (talkcontribs) 21:54, 10 January 2014 (UTC)Reply

I've removed this part: "This is discussed further in the external link by Davies (undated)". I couldn't find any link that it might apply to.