I was just wondering if there are risk attribution model that does not require the asset weights data. It appears that most risk attribution models do require asset weight data. I am looking for model that does not require the asset weight data;

I am trying to build the risk attribution model for MSCI ACWI, where the underlying assets are sectors and regions data. The model should assume that I do not know the weights for the sectors and regions.

Thank you!


I think you are looking for a technique called Risk-Based Performance Attribution (see http://www.northstarrisk.com/004riskbased-performance-attribution for a simple overview). That uses various risk factors or risk exposures to decompose the performance of the portfolio.

In your case, multiple regression of the MSCI ACWI returns will generate regression coefficients against the sector indices. The regression coefficients are the risk exposures and can be used to generate the factor performance for each period.


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