Risk attribution for asset managers

Jorge Mina

In this article we present a risk attribution methodology that segments the total tracking error of a portfolio into allocation and selection components that are consistent with traditional return attribution systems.  Our approach consists of applying standard risk statistics (e.g., standard deviation, VaR, and incremental VaR) to the stochastic excess returns vis-a-vis a benchmark attributed to each investment decision.

November 1, 2002
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