Return Attribution Analysis at Multiple Levels
Consider the following macro attribution results:
| Portfolio | Portfolio Weight | Benchmark Weight | Portfolio Return | Benchmark Return |
|-----|:-----:|:-----:|:-----:|:-----:|
| A | 40% | 30% | 6.14% | 6.21% |
| B | 60% | 70% | 3.28% | 4.58% |
| **Total** | **100%** | **100%** | **4.42%** | **5.07%** |
What was the selection effect for Portfolio B?
Correct!
Incorrect.
The selection effect is the return difference between the portfolio and the benchmark multiplied by the benchmark weight. In this case:
>$$ 70 \% \times (3.28 \% - 4.58 \%) \approx -0.91 \% $$.
Other responses
-0.91
