APPENDIX G


Combining duration allocation returns

To see that the sum of the market duration allocation, market duration selection and market direction terms is in fact the active market return, expand equations (14.1114.13) to give

G.1
G.2
G.3

Summing the terms and rearranging gives

G.4

The second and third terms on the RHS are zero. Summing over i gives

G.5

Since

G.6

the last term in (G.5) also reduces to zero, and the result follows.

..................Content has been hidden....................

You can't read the all page of ebook, please click here login for view all page.
Reset