Got it all figured out, except Yield Component. How does this show up in the calculations? Neither CFAI nor Schweser has an example.
What yield component? There’s Currency Selection, Market Selection, and Security Selection. I don’t see where yield fits in.
I think the monster problem at the end of the global attribution reading has a calc for the yield component as part of the solution. I haven’t taken the time to figure out how they treat the interest that’s already accrued at the start of the period (I assume it’s treated as part of the initial market value). God help me if a table that size shows up on the exam.
It won’t - it’s too lengthy for an exam question, and I have not come across anything like that in the 6 Schweser exams I took or the 2300 QBank questions I did or the old CFAI exams. I’ll take my chances and not worry about this one.
LOL it won’t be on the exam Max. Yield is simply breaking down what you got in regard to your bonds (it’s a further delineation of the return).
Agree. Just like TooOld4This, I’m too old for this. If something that size shows up, I get up and walk out…
I think you would have a mass exodus; you can be our Moses.
lol…yeah, the parting of the red tape…
pimp Wrote: ------------------------------------------------------- > What yield component? > > There’s Currency Selection, Market Selection, and > Security Selection. I don’t see where yield fits > in. there is also currency contribution which isn’t the same as currency selection
Isn’t currency contribution a risk measure? Performance attribution is used to breakdown the compenents - and there’s only 3: Currency Selection, Security Selection, and Market Selection.
Anyone notice that there’s two ways to calculate currency contribution, depending on the information given? I’ve seen it to be the portfolio weight times the difference between the base return less the local market return of the underlying, as well as the spot rate times the weight difference.
Wrong. There is currency allocation and curreny contribution Just like there is market allocation and market contribution. They are two different calculations.
What are the formulas? RealWarriorsOnlyPlease Wrote: ------------------------------------------------------- > Wrong. > > There is currency allocation and curreny > contribution > > Just like there is market allocation and market > contribution. > > They are two different calculations.
Isn’t there Currency Attribution??
Formulas from US perspective Market contribution: calculate the holding period return in the local currency for each benchmark component, then calculate a weighted average based on benchmark weights market allocation: the sum of ((port wt - index wt)*martet contribution) Portfolio currency contribution: weighted average of (Dollar r - capital gain in local currency) Calculate index currency contribution the same way Currency allocation: (portfolio currency contribution-index currency contribution)
RealWarriorsOnlyPlease Wrote: ------------------------------------------------------- > Formulas from US perspective > > Market contribution: calculate the holding period > return in the local currency for each benchmark > component, then calculate a weighted average based > on benchmark weights > > market allocation: the sum of ((port wt - index > wt)*martet contribution) > > > > > Portfolio currency contribution: weighted average > of (Dollar r - capital gain in local currency) > Calculate index currency contribution the same > way > > Currency allocation: (portfolio currency > contribution-index currency contribution) i’m going to have a mental breakdown just reading all these posts… where are these formulas ??? which session which book ??? I have gone over the course pretty well and i don’t remember seeing them at all
global performance attribution If you do problem 5 in the end of chapter questions for reading 44, you will see a ton of the calculations. What pisses me off is i am unsure if we need to know these… I could see CFAI asking to calculate one small component or nothing at all… I said it in an earlier post a couple of weeks ago, reading 44 end of chapter questions are the worst out of all 6 books.
i tried to cover most of cfai… but ironically whichever topics i did not cover are the one that are diff in schweser *head-desk* schweser does not even come in the vicinity of making a passing reference to them.
bips; you can take heart from the fact that this problem was tested in 2007 and may not repeat here… I just took 2007 morning exam again and it has the global attribution. I got 100% on the real exam yet now when I redid the same, I was struggling…
Yep, I took the 2007 this morning. Global attribution, but with no benchmark weight needed in the calculation since there wasn’t a benchmark. So I think the chances of this appearing as a major calculation are very minor (but I wouldn’t rule out a question in the afternoon). I’m thinking macro or micro attribution are much more likely, as is the full implementation shortfall. Hmmm. And the problems for Reading 44 are completely ridiculous. I noticed that depending on the reading (i.e. the author who wrote the reading), the questions varied quite a bit in terms of quality. 44 was stupid, as were the questions following the corporate bond reading.