РЭШ EFM 2004/05 65 Methodology (cont.) Decomposing funds return: R = CS + CT + AS Decomposing funds return: R = CS + CT + AS –Characteristic selectivity: CS=Σ j w j,t-1 [R j,t -R t (b j,t-1 )] w j,t-1 is last-quarter weight of stock j in the funds po
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