Portfolio Performance Evaluation

Free CFA Level III: Portfolio Management lesson in Performance Measurement. 37 min read, ~5,570 words.

Brinson attribution decomposes active return into allocation, selection, and interaction effects, which must sum to total active return. Allocation effect = (portfolio weight - benchmark weight) x (benchmark sector return - total benchmark return). Selection effect = benchmark weight x (portfolio sector return - benchmark sector return). Macro attribution operates...

What this lesson covers

• Content
• Example 1
• Example 2
• Common Mistakes
• Check Your Understanding
• Exam Shortcuts

Learning objectives

• portfolio eval

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