As some of you might know that I am referring to the first article in the most recent financial analyst journal. The article articulates a derivative from the classical Brinson model to include assessment of the timing effect. Can anyone shed some light if you have implemented the model? or re-test the numbers in the article? I wanted to play with the number and I set up a spreadsheet with numbers from the article. So far the “static manager” ties back to the article i.e. no dynamic allocation alpha. However, I can’t reconcile the dynamic allocation figures. I was wondering if anyone encounters the same issue?
Please ignore the above questions…I made some silly mistakes. The numbers tie now. Time to roll out to real data…