benchmark CaMiIti -3..13% Active Weight -1.7S% Active Contflb O.iSii Symbol Company Slock Avg Active Stock Selection Aug Mgli IR HR Return ABlWt Contrlb Ftel Abs MgSWt Ctfb w "w "">■£ Firnj_WL gsjip inc IUS31 1 JBi -tifl Mo 0L" 19; -E, * -ft-l- +s7' FISI mi e mE 1 J . 1 1 l 1 OL Ll 11' fi r 4J J 4 ' SPB l"NO LJPP 18 W 1 1"! fil" 0D4 OB? 1* Hi. 4-M 4< 11 FFE F E D E Mj 4. [ t If r 1 D .54 L -. - 'I L iL-H ■.CHJlJtfl H-ftE JLLflf Il_1. e^.' l in Oil 1104 0-4 en . J) 4 1* TT TATE TFEET Iff 1 II L A C 1 1 0LK 11 [F 1 07 L, 1 t ' *t 11 +1 C r TIBF DUP INC i;ni em -cot OBI at. 3 t) -L i -4ftt 4'"1! a-. -Wl I f ""+! "L iff t 11*" L U 1 Oil mi 1 Bl 1 1 ^ 4 1 UPC un 'ri puare* corp 14,21 <n 1 01 1 hub ODD BOO i. H ; t (F2- p FFFF- II =11 IT FP 14 = ,. I D 1 1 11 1 U EB L 1 'Q 'l ri rt-fTEF rhEFIHW 1.98' e " 1U!" 001 000 000 SlfB *"" '(I1 "Pi > IF I.EPPI Era, IP INT 419l -0 41 t Ll ' ll III l no l Of d Fr 51 CDaJ SjLOEH *e T FII1M1UW. CO" 350- UK* ii.1' Onl U LU u Ou Aim 4j3 S46a .4.1 -AL TSTE F P t, L t 1 [ 11 04 LU11 ill L Ll[ ^ 4F EOft E3"T| FE IBENTlOI IS'll ■ejs <eu OJjG 019 not i" lf>41 'f V E.NM JN PtPF 1CEHT 'F II 4 L IA I Ll" OL 11 II L Eft. L Ll ( ' 1 IJI" ejjH r^ptT'*. jPCtjP M TJf * jclt (SI* Oil OM HOI IK 1. t 5'81 1 I -atT-J ITT 1 " [1 1 ■ r. 111 ■ II (B L | " a *r c MTF. NlFTNEfltlTP vTkQPJP 14E81 B11 t £0 ( 010 11 Ml L1X El IS i J. it li EftP "31 T TFFI EFFTPERTE TF 1 "H. L 141 t L I till III C M l or 5 ' " 1 F.F PSfl-FE SI Til i FF I.44i 41 14" I L-> Oil OLV It t" 0*1 7 ' ' 1 RBT HF" FPIFiliril dl l- 4. -t r * 10 irn SB1 n 4U. *q CHE Bftltri SIECCFP 2 01 41541. SLu% Old oar on. DCS. 1 43 41 n; ! [MF H NWW F 11-iH IAL F , llr ( 1 t I < 11 inn Eft. 1 Ll 1 04 j "Fi ■"UHrRU TS1B 'IMC 1611 *rt (1! DD am BtW t " 4;a ID 00 i-ET jetm- h [' "* a ti 11 ' OlI ■ u L fB. Bu i - '- 1 MV N.MJ FltMB.Jll.orp .(*■( ti"i B i J01 aw j 10 E IB IBS4 ei H pr r Fh lrntiPi-i-iiE f 1j L n. h Ll 1 Oil onii L M L Lll ![ "If INi LIUCQLU HriTtEK4- 'IFF 13(4+ .e b- HI 1 Oil U(M Oft OiH 14 45 I4QI HF th i HmTI rn i r r -i f t 07. i itr C 1 * 001 nn L SKI L Ll 1 fl ' 1 *W "tf HINCII Mp1UTU"ilNi 1*"l -a I- 1L." OIL OLV 0 24 SO t 43 ft IB. i hfc itifEF. L-IH "Ml. 11 D ■> 11 Ll DO Eft. E J 11 ^ 1 flU HUM ' ' *P BiJl 6371. ion Oil U* (SDD i.[BJ 43 " 1 FIGURE 1 9.3 Breakdown of Contributions from Finance More detail is of course available. Figure 19.3 shows the breakdown at the stock level of the contributions from finance, providing for each stock the return and average active weight over the period that contributed to the overall performance versus benchmark. Next, we explain the issue of linking daily returns in multiperiod return attribution. Multiperiod Attribution Return attribution begins with calculating sources of return over a single time period (e.g., one day). Single period sources are then compounded, or linked, so that returns are computed over multiple periods (e.g., one month). Multiperiod attribution requires that we compound each group's (or factor's) contributions so that the sum of the compounded group contributions is equal to the compounded total return. In the following section, we use the linear factor model to describe linking. Note, however, that all results directly carry over to the case where the asset grouping methodology is applied. Linking Returns Consider the one-period portfolio return written in terms of the linear factor model. We know from our earlier discussion that the return on the managed portfolio is given by:s rp{t)=bP(t-l)F(t) + up(t) (19.24) :In order to avoid cluttering notation, we drop the local superscript when writing returns.