Sign up  |  Log in

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:

Product A

−0.38%

Is anyone able to get -0.38%?

You’ve made it this far, and you know what it takes to pass. Don’t be fooled by false promises and unrealistic claims. Schweser’s study packages give you the proven study tools and expert instruction you need to finish the job.

Anyone?

I got (70% - 80%) x (4.32% - 3.84%) = 0.048%

You might want to write to CFA Institute about this. There is a possibility of an error or they could be using some other ways to derive the allocation effect.

In any case, the first table was enough to infer that we should fire the chief fixed-income strategist.

——————————————
Find useful resources on the CFA exams at http://www.youtube.com/c/FabianMoa

Nope. CFAI formulas deliver different results. 

Maybe that’s why they mention a couple of times in the FI Return Attribution section that candidates are expected to be able to interpret, but not calculate, these results.

I guess someone else already reported the error, as I got a quick reply from the Curriculum team:

“Dear candidate, 

 

You are correct that the figures are wrong in this table. An errata will be issued shortly.

 

Thank you for pointing this out.”

Thanks for update !

EugeneNYC wrote:
”An errata will be issued shortly.”

You’d think that the curriculum team would be smart enough to know that “errata” is plural, and that they should have written, “An erratum will be issued shortly.”

Sigh.

Simplify the complicated side; don't complify the simplicated side.

Financial Exam Help 123: The place to get help for the CFA® exams
http://financialexamhelp123.com/

Fund of funds of funds of funds! Try attribution on that!

EugeneNYC wrote:

I guess someone else already reported the error, as I got a quick reply from the Curriculum team:

“Dear candidate, 

 

You are correct that the figures are wrong in this table. An errata will be issued shortly.

 

Thank you for pointing this out.”

The latest errata is out. Now the figures reconcile.

——————————————
Find useful resources on the CFA exams at http://www.youtube.com/c/FabianMoa