The Mathematics of Financial Modelingand Investment Management

19-EquityPort Page 581 Friday, March 12, 2004 12:40 PM

Equity Portfolio Management 581

EXHIBIT 19.7 Active Risk Decomposition

Source: Figure 4.4 in Barra, Risk Model Handbook United States Equity: Version 3

(Berkeley, CA: Barra, 1998), p. 34. Reprinted with permission.

EXHIBIT 19.8 Active Systematic-Active Residual Risk Decomposition

Source: Figure 4.5 in Barra, Risk Model Handbook United States Equity: Version 3

(Berkeley, CA: Barra, 1998), p. 37. Reprinted with permission.