Reading 35: fund of funds attribution analysis (macro attribution)
in the CFAI, book 6, reading 35, page 202:
I have been trying to recompute the Allocation & selection % for Year 1.
For allocation to product A, I get (70% portfolio weight-80% benchmark weight) * (4.32 benchmark Global Aggregate return - 3.84 total benchmark return)= -4.80%
The CFAI books shows for Year 1:
Is anyone able to get -0.38%?
Study together. Pass together.
Join the world's largest online community of CFA, CAIA and FRM candidates.