Abstract
In this research note, we explain how to correctly calculate contributions to ex post returns and ex post volatility and tracking error. The calculations are performed on a realistic portfolio, i.e. a portfolio in which the asset weights change over time due to active management and passive drift. Further, we introduce a novel type of calculation that allows the distinction between risk contributions due to positioning and trading. We also show how risk contributions can be calculated without calculating a covariance or even volatility.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
