Barra gives factor weights for a common set of factors, for each asset. Given a long-short portfolio, is there a way I can combine the individual factor weights to get the factor exposures for the overall portfolio? Ideally, I want to be able to make statements like "10% of the portfolio returns are due to Factor x".
2 concerns that I had:
How would I calculate the portfolio weights, as the \$ value of asset i divided by the sum of the \$ values of all assets, or should I divide by the sum of the absolute \$ values?
I don't think (but I could be wrong) Barra has standardized factors in the individual asset regression. Hence, even if I had a way of obtaining portfolio factor weights, would it be possible to make statements like the one I described above?