identify and measure six sources of return to managed, benchmark, and active portfolios. The sources are: 1.    Country. 2.    Currency (including forwards). 3.    Investment style. 4.    Industry and sector. 5.    Asset (including cash and futures positions). 6.    Cross product (measures the interaction of currency and other sources). We measure contributions from country, industry, sector, and asset to a portfolio's total and local return return, where the total return combines the currency (exchange rate) return and local return. When measuring multicurrency attribution we show sources of return two ways-including and excluding the impact of currency. Compared to our single country attribution methodology, we now have three additional sources of return: (1) country, (2) currency, and (3) cross product. 1.    The country effect measures contribution to return from country exposure. This is computed for both the total and local returns. 2.    The currency effect measures the contribution to return from currency exposure. We separate the currency effect into two components-currency surprise and forward premium. The former is an uncertain quantity whereas the latter is known with certainty. 3.    The cross-product term measures the interaction between the currency effect and the local return. Generally, the interaction effect is relatively small compared to the other sources described so far. However, if the portfolio weight (or return) is significantly more or less than the benchmark weight (or return), the interaction effect has a larger impact. For convenience, interaction is often combined with other sources. Table 19.1 summarizes the six sources of return and the type of returns that are computed for each. In the following analysis, we work with percent returns. Recall that the total (percent) return for a portfolio is r,(f) = [l+^(f)][l+E(y(f)]-l (19.56) Let ivp(t - 1) represent an N-vector of portfolio weights where the weights are constructed with respect to the reporting currency. That is, nominal amounts that go into constructing the weights are expressed in the respective portfolio's reporting currency. In the case where a portfolio's reporting currency is U.S. dollars, the weights would be constructed by first converting all positions to U.S. dollars.