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  • Week 9 Portfolio Performance Evaluation - Color.25

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    jon
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    The fund manager chooses weights for different asset classes and securities. The return of the portfolio is calculated as the weighted sum of returns of individual assets. Performance attribution is calculated as the difference between the portfolio return and benchmark return, which is equal to the weighted sum of differences between returns of individual assets and their benchmark returns.

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    Week 9 Portfolio Performance Evaluation_color.25

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    Week 9 Portfolio Performance Evaluation_color.25

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    The fund manager chooses weights for different asset classes and securities. The return of the portfolio is calculated as the weighted sum of returns of individual assets. Performance attribution is calculated as the difference between the portfolio return and benchmark return, which is equal to the weighted sum of differences between returns of individual assets and their benchmark returns.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    12 views1 page

    Week 9 Portfolio Performance Evaluation - Color.25

    Uploaded by

    jon
    The fund manager chooses weights for different asset classes and securities. The return of the portfolio is calculated as the weighted sum of returns of individual assets. Performance attribution is calculated as the difference between the portfolio return and benchmark return, which is equal to the weighted sum of differences between returns of individual assets and their benchmark returns.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    Performance attribution

    The fund manager will choose weights in each asset

    class and securities within each asset class.


    n

    rp w pirpi
    i 1

    The difference between the two rates of return is:


    n

    i 1

    i 1

    i 1

    rp rB wpirpi wBi rBi ( wpirpi wBi rBi )

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