Research and Insights
Articles by Whit Miller
Research Insight - Manager Risk Contribution: Attributing Risk in a Multi-Manager PortfolioResearch Report | Mar 4, 2014 |
MSCI extends the analysis of a previous paper, Benchmark Misfit Risk: Identifying the Risk Contribution Arising from Differences in Manager and Policy Benchmarks, where we introduced the misfit effect on a Global Equity portfolio. In this latest paper, the same Global Equity portfolio is formed from the combination of five managers across three regions. We form an expression for Manager Risk Contribution in terms of the selection effect and misfit effect. We use this expression to calculate...
Benchmark Misfit Risk: Identifying the Risk Contribution Arising from Differences in Manager and Policy BenchmarksResearch Report | Jul 9, 2013 |
The benchmark misfit effect arises when the policy benchmark and the manager benchmark are not aligned. Unless this effect is specifically modeled, it is not possible to determine how the active risk of an individual manager contributes to the risk of the overall fund. In this Research Insight, we showed how the classic Brinson model could be extended to account for benchmark misfit. We also demonstrated how to properly attribute overall portfolio risk to the active risk from an individual...