At last week's Performance Measurement Forum meeting in Rome we briefly discussed the issue of "pricing effects." That is, the effect that can arise when your portfolio's prices don't match what's in the index. Recall that we discussed this on November 4.
What I failed to mention earlier is this: what happens if you don't have the index's constituents? For example, what happens if your bond index doesn't give you the securities and the details (such as prices) they include?
A: you obviously won't know whether or not there IS a pricing effect.
B: if there is one, you're out of luck! Unless you can persuade the index provider to give up these details, you can't report on the effect. MEANING that your selection effect will be less than accurate. How "less than"? We just won't know. Sorry :-(
Can you still have attribution if you're missing security details? YES, of course! As long as you have the market values and weights for sectors or subsectors or other groupings you're interested in, you can run attribution! :-)