文章目录
注:本文暂未完成,预计完成时间5/17,敬请期待
1. 引言
2. Brinson单期归因模型
2.1 模型框架
wp | wb | |
---|---|---|
rp | 组合收益:wp rp | 择股收益:wb rp |
rb | 择时收益:wp rb | 基准收益:wb rb |
2.2 公式推导
R E = ∑ i = 1 n w i p r i p − ∑ i = 1 n w i b r i b = ∑ i = 1 n ( w i p r i p − w i b r i b ) = ∑ i = 1 n ( w i p r i b − w i b r i b + w i b r i p − w i b r i b + w i p r i p − w i p r i b − w i b r i p + w i b r i b ) = ∑ i = 1 n ( w i p − w i b ) r i b + ∑ i = 1 n w i b ( r i p − r i b ) + ∑ i = 1 n ( w i p − w i b ) ( r i p − r i b ) = R A + R S + R I R_{E}= \sum_{i=1}^{n}w_i^pr_i^p - \sum_{i=1}^{n}w_i^br_i^b \\ = \sum_{i=1}^{n} (w_i^pr_i^p - w_i^br_i^b) \\ = \sum_{i=1}^{n} (w_i^pr_i^b - w_i^br_i^b+ w_i^br_i^p-w_i^br_i^b+ w_i^pr_i^p- w_i^pr_i^b - w_i^br_i^p + w_i^br_i^b) \\ = \sum_{i=1}^{n} (w_i^p - w_i^b)r_i^b + \sum_{i=1}^{n} w_i^b(r_i^p-r_i^b) + \sum_{i=1}^{n}( w_i^p- w_i^b)(r_i^p- r_i^b )\\ =R_A + R_S + R_I RE=i=1∑nwiprip−i=1∑nwibrib=i=1∑n(wiprip−wibrib)=i=1∑n(wiprib−wibrib+wibrip−wibrib+wiprip−wiprib−wibrip+wibrib)=i=1∑n(wip−wib)rib+i=1∑nwib(rip−rib)+i=1∑n(wip−wib)(rip−rib)