最新研究快报 - 风险贡献度的衡量-2010年1月(英文).pdfVIP

Risk Contribution is Exposure times Volatility times Correlation Decomposing risk using the x-sigma-rho formula January 2010 Ben Davis Jose Menchero MSCI Barra Research 漏 2010 MSCI Barra. All rights reserved. 1 of 22 Please refer to the disclaimer at the end of this document. Risk Contribution is Exposure times Volatility times Correlation | January 2010 The aim of attribution analysis is to explain the impact of active management decisions on the risk and return of a portfolio. For such an analysis to be meaningful, the attribution model must reflect the investment process. Furthermore, as discussed by Menchero (2006/2007), alignment of risk and performance attribution along the same decision variables is essential to properly evaluate the tradeoff between risk and return. The most general return attribution can be written as 饊亝饊亝 = 锟金€仴饊仴 饊仈饊仈 , 饊仛饊仛 饊仛饊仛 (1) 饊仛饊仛 where 饊仴饊仴 is the portfolio exposure to source m, and 饊仈饊仈 is the return of the source. For ex post 饊仛饊仛 饊仛饊仛 analysis (i.e., performance attribution), source exposures are known with certainty at the start of the period, but source returns are known only at the end of the period. By contrast, in the ex ante case (i.e., return forecasting), source exposures are known with cer