Can anybody please explain the question in the 2007 exam related to attribution analysis. it seems like the cfa has a different way of calculating the currency calculation as well as sector and market calculation than the schweser did. Also the 2006 exam has a question on implementation shortfall which doesnt correspond to the schweser materials anyone have any explanations. thanks
In 2007 exam attribution analysis was done for total return, not relative to benchmark (Rp-Rbm).
Use zero for the Benchmark weight and you can use the Schweser formula
Thanks guys anybody on the implementational shortfall from 2006
I think the implementation shortfall you’re referring to (2006) is outdated. Use the current one. Regarding the attribution analysis, there are 2 ways to do it, and it is in the CFAI materials. Schweser shows only the 2nd formula. Tanyusha you got it wrong, sorry, there is no such thing as attribution analysis for total return and not relative to the benchmark.
I punted attribution analysis. They can have those marks back…
Sa, are you sure? I thought they asked for components of total portfolio return, not components of total return relative to that of the benchmark.
Tanyusha, sorry, you’re partially right. However, there’s still a benchmark involved, otherwise there would not be a security selection contribution. Security selection is relative to the benchmark (index).
ok, fair enough