538 Rebalance strategy, 413^14, 417 Recession, impact of, 31 Recruitment, management selection process, 403-404 Red zone events, 214, 216, 432-433 Reference checks, management selection process, 403-404 Refinancing, 440 Regression analysis: characteristics of, 422 covariance matrix estimation, 244-245 cross-sectional, 309, 345, 357-360, 393 equity risk factor models, 339, 346-347 performance measurement, 275-276 Relative marginal contribution to tracking error (RCTE), 381-382 Relative marginal factor contribution to tracking error (RFCTE), 384-385 Relative specific contribution to tracking error (RSCTE), 385 Relative value sector, hedge funds, 490, 494 Remedial planning, 254 Reoptimization, 106 Repurchase agreements, 375 Residual return, 174, 327-329 Residual risk, 176, 393 Retirement planning, 575 Return attribution: algorithms, to align official and estimated returns, 328-329 asset grouping, 298, 306-311, 332-333 defined, 297, 299 factor model, 298, 301-306, 309, 331 international portfolios, 319-327 in performance measurement, 273, 327-328 purpose of, 298-300 residuals, 327-329 returns computation, 300-301, 331-333 single region (local model), 301-319 Return-free strategy, 202 Return on equity (ROE), 47^8, 253-254, 256-258, 278, 423 Returns, see specific types of returns after-tax, 541-544 computation of, 283-284 dollar-weighted, 281 normalized, 271 risk capital, 277 stocks vs. bonds, forecasts using valuation measures, 464-465 time-weighted, 282-283 uncorrelated assets, see Returns for uncorrected assets Returns for uncorrelated assets: optimal portfolio weights, 162-163, 165-166 optimal risk allocations, 164-165 portfolio analysis, 156-160 risk decomposition, 161, 164, 166 strategic asset allocation, 163-168 Returns on risk capital (RORC), 253-254, 256-258, 278 Risk, see specific types of risk allocation, 27, 172 characteristics of, 534 defined, 249, 277 forecasting models, 262, 264-266 sources of, generally, 33-34, 152-168, 251, 313-319, 373-378, 435-442, 523-525 types of, 27, 251 Risk-adjusted change in surplus (RACS), strategic asset allocation, 114-115, 120-123,130-131 Risk and return assumptions: active risk management, 201 strategic asset allocation, 115-125 Risk aversion: Black-Litterman global equilibrium approach, 83 global equilibrium and, 63, 72, 75