When calculating the Market and Currency components of the total returns, CFAI’s guide answer did not use the benchmark weight (Wj,b). Why? My understanding is that, for example, the Market component should be: Sum(Wj,p - Wj,b)*Rj,b,f Any idea?
cause schweser told to use it…cfai hates schweser… blame it on this conspiracy theory
This is a different type of calculation. I believe in that exam if you look at the table there are no benchmark weights given, correct? If that is the case the calculations actually become easier. I may be slightly off here, but I believe the appropriate formulas in that case are: Currency: Wsector (Rd - Rf) Market: Wsector (Rindex,f) Selection: Wsector (Rf - Rindex,f)
you have both in cfa text page 86, the one of 2007 q9 page 87, the one with benchmark weights (“another step in performance attribution is to study the performance of the total portfolio relative to that of a global benchmark”) agree with jimmy, I guess no benchmark = do only the one of page 86 (2007 q9) my question (just wrote a post on this) is: do we have the same problem in micro attribution without international issues? I mean, only market and selection effect to justify our total return (regardless of any benchmark)?