Evaluating Benchmark Misfit Risk

$25

Evaluating Benchmark Misfit Risk
Stephen Campisi, CFA, The Pensar Group

Using a case study, we will show that the long-term allocation of each individual fund is only partially devoted to its core asset segment,  and the collective effect is a different set of market exposures than the total portfolio benchmark. It is the responsibility of the overall portfolio manager to evaluate this structural component of active return and to understand its effect on portfolio performance.

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The Journal of Performance Measurement

The Performance Measurement Resource.

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