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Performance attribution analysis

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Reference no: EM133000305

Performance attribution analysis is an attempt to divide a manager's "active" residual return into an allocation effect and a selection effect.

Explain how these two effects are measured and why their sum must equal the total value-added return for the manager.

Is this analysis valid if the actual portfolio in question is riskier than the benchmark portfolio to which it is being compared?

Reference no: EM133000305

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