Performance Attribution with Zero-Weighted Sectors

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This article describes two well-known problems that can arise when calculating sector attribution (i.e., Brinson attribution). Each of these problmes involves sectors whose weight is zero and whose return is unknown. For both problems, the usual formulae for sector attribution will not work readily because the benchmark or portfolio return is unknown for the zero-weighted sector.

Author: Damien Laker

This article describes two well-known problems that can arise when calculating sector attribution (i.e., Brinson attribution). Each of these problmes involves sectors whose weight is zero and whose return is unknown. For both problems, the usual formulae for sector attribution will not work readily because the benchmark or portfolio return is unknown for the zero-weighted sector.

 

Performance Attribution with Zero-Weighted Sectors.

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