Published in:MSCI Barra Research Paper ; No. 2011-07
Extent:
1 Online-Ressource (15 p)
Language:
English
DOI:
10.2139/ssrn.1823628
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 16, 2011 erstellt
Description:
While performance analysis is typically conducted on a benchmark-relative basis, risk analysis is often presented on an absolute-return basis. This mismatch between sources of risk and return leads to the pitfall that active management decisions cannot be evaluated on a risk-adjusted basis. In particular, usage of absolute return sources in risk attribution may lead to non-intuitive marginal contributions to risk and flagging aggressive positions as risk reducing. These pitfalls can be addressed by using relative MCARs, which result in a set of consistent and intuitive effects across securities, sectors, and factors