标题: I learned a way to make an equation simpler for pure allocation effect [打印本页] 作者: RoastBeef 时间: 2011-7-13 16:55 标题: I learned a way to make an equation simpler for pure allocation effect
I was looking at a question to calculate pure allocation effects for manager performance. The usual is to sum the following
(Manager weight - benchmark weight)(benchmark return - average return)
The average return will sum to zero since the numbers on the right side sum to zero anyways. I always learned this equation the Schweser way, but I just realized that you can make it much simpler using my method. Try it out and see if it works. Let me know your results.作者: dyga 时间: 2011-7-13 16:55
This is true if you need effect for all sectors only. If the question is to calc effect for one sector I think CFAI prefers expression as in curriculum作者: zwjy 时间: 2011-7-13 16:55
