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Understanding Total Portfolio and Portfolio Component Return Relationships

By: First Rate
Published: 7/1/2010

The total portfolio return is estimated as the weighted return of the portfolio’s underlying components. However, when there are significant cash flows resulting in intra-period component reallocations, the estimated weighted total portfolio return can differ significantly from the weighted average return. The widely used monthly estimation shows errors in the blended benchmark return by including the impact of intra-period reallocation along with selection.


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