Pitfalls in Risk Attribution

摘要: While performance analysis is typically conducted on a benchmark-relative basis, risk often presented an absolute-return basis. This mismatch between sources of and return leads to the pitfall that active management decisions cannot be evaluated risk-adjusted In particular, usage absolute in attribution may lead non-intuitive marginal contributions flagging aggressive positions as reducing. These pitfalls can addressed by using relative MCARs, which result set consistent intuitive effects across securities, sectors, factors.