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Correct Calculation of Ex Post Contributions to Return, Volatility and Tracking Error By Andreas Steiner
eBook (PDF): $2.10
In this research note, we explain how to correctly calculate contributions to ex post returns and ex post volatility and tracking error. The calculations are performed on a realistic portfolio, i.e.... More > a portfolio in which the asset weights change over time due to active management and passive drift. Further, we introduce a novel type of calculation that allows the distinction between risk contributions due to positioning and trading. We also show how risk contributions can be calculated without calculating a covariance or even volatility.< Less
Active Risk Attribution By Andreas Steiner
eBook (PDF): $2.10
We propose an integrated analysis of portfolio performance and active risk by applying the Brinson approach to Tracking Error and active Beta.

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