Portfolio Performance Evaluation

Free CFA Level III: Private Wealth lesson in Performance Measurement. 41 min read, ~6,137 words.

Brinson attribution decomposes active return into allocation, selection, and interaction effects. 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 at the total fund level: policy, timing...