If you are doing attribution using dynamic performance you need to have constituent (security) level weights and returns for the benchmark loaded as well as the corresponding security attributes that you use in your grouping.
Because dynamic performance always rolls from the security level up, the segment and total levels will tie out to the officially calculated values only if the consistent dynamic weight for the benchmark has been stored. If tying out to official segment and total benchmark returns is a requirement, then this is an important consideration when benchmarks are defined and loaded.
0 Comments