标题: multi period performance attribution [打印本页] 作者: Muddahudda 时间: 2011-7-11 19:45 标题: multi period performance attribution
On Page 214 of Volume 6 (reading 47) for single period attribution they have calculated market allocation effect as:
-0.1x(5%) +10%x(-5%)=-1%
and for multi period attribution it is calculated for a single period as (page 224) :
0.1x(20%-10%)-0.1x(0%-10%)=2%
can anyone explain why the discrepancy in the formulae?
The source of my confusion is this: as i understand, mkt allocation is over/underweight x benchmark return in local currency... while this is true in page 214, but for multi period in page 224 they did it differently. (maybe you do it differently for multi period, but i fail to understand the logic)
Apologize for not typing out the exact stuff, anyone who cares will have to look up vol 6 - pg 214 and 224 i guess (or maybe stalwarts like paraguy wouldn't even need to do that !)!
Thanks in advance!作者: zwjy 时间: 2011-7-11 19:45
cash and carry is much easier and I think think there is a very likely chance of having a cash and carry question on the exam作者: jmh530 时间: 2011-7-11 19:45
I read the text and my understanding is that although the same name, those are two different attributes.
confirm or give better explanation pls作者: bodhisattva 时间: 2011-7-11 19:45
needn't consider this .CFAI will not test on it . skip it作者: pennyless 时间: 2011-7-11 19:45
Malawyer,
The formula for market allocation is : (Wj - Wj*)xIj (on page 213)
it means the over/underweight is only multiplied by benchmark return in local currency.
Im still confused.
maybe pfcfaataf is right that these two are different things??作者: Zestt 时间: 2011-7-11 19:45
djinn, that's what I wanted to say, these are two different things: either you look at portfolio return or excess portfolio return (which would need 2 different formulas).
goodman: you give me a pass guarantee cfai won't test it? Any other materials I can throw away and not learn? ;-)
Maybe they won't test the difference between formula a and b, but I am quite certain that attribution analysis will be some part of the test, cominbed with currency effects this would make a good catch-all question.
If you calc only the excess part and substract benchmark return from each allocation, the result will be 12%, which is the excess return in my example.作者: strikethree 时间: 2011-7-11 19:45
Hi
Both formulas are mathematically the same, i.e. they have the same total result. However, the formula on pg 224 allows you to to split the total market allocation and verify the contribution to market allocation of each market separately.
!)!