Sunday, August 24, 2008

Attribution Analysis and Exposures

A portfolio will contain a certain asset mix. The exposure of a portfolio to these classes can be determined by weight of such investment. The market factors can be separated from the asset selection skills using attribution analysis. Such selection could be influenced by various factors like economic indicators, certain revenue drives, etc. which do not have the asset as an element like in an index. In such cases the factor exposures can be determined by regression analysis.

Thanking you.
Best regards,
Suminda Sirinath Salpitikorala Dharmasena B.Sc. (Hon.) Comp. & I.S., Lon.

The intuitive mind is a sacred gift and the rational mind is a faithful servant. We have created a society that honours the servant and has forgotten the gift. - Albert Einstein

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