Fixed-Income Portfolio Analytics by David Jamieson Bolder

Author:David Jamieson Bolder
Language: eng
Format: epub
Publisher: Springer International Publishing, Cham

(8.38)

If we divide both sides of Eq. (8.39) by this constant value, κ, we can make further progress,

(8.39)

This is our final result. Our active return is described as the weighted sum of the active returns in each period with weights, .

This result can be applied to any arbitrary performance attribution. We only require, as is the case for each daily performance attribution, that the active return is equal to the individual factor returns at each point in time, or mathematically,

(8.40)

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