标题: multi-period Macro attrib with the wrong currency? [打印本页] 作者: krause2 时间: 2011-7-13 13:13 标题: multi-period Macro attrib with the wrong currency?
in v6 page p223, there is an example of multi-period attrib for Market and security selection.
However, the returns used in the math are all in base (domestic currency).
I know for a fact the market and security allocation effects uses the 'local' (foreign) returns.
Market alloc =SUM R jbf ( Wjp- Wjb)
Security alloc = SUM Wjp ( Rjpf- Rjbf )
Now I am really confused why they are using Base(domestic) currency for Macro Attrib.
Any ideas?
