Global performance attri

I realize that I have skipped second half of SS 16 do we have to memorize that formula?? once you memorize it can you do all the questions? is it worth memorizing it?

I just threw my notes on that to the back of the pile. If I have some spare time I’ll look over it. If not…get on my knees and pray.

SS 16 was 9 points (3 questions) in 2007 AM exam. not sure about PM since they did not release it, but my guess is that there was no PM section. that means the ENTIRE SS 16 got 9 points. personally, i doubt this will be more than 5% of the exam. in an ideal world, you would know 100% of the material cold, but the idea is to pass. focus on what is going to help you get across the finish line, not knowing every formula. i am running out of time and will have light coverage of SS 16 at best, but i know 85% of the rest of the material cold. if i execute well and don’t get unlucky with anything weird, then it should be enough.

when the formulas are so nasty and not intiutive CFAI tends to give it to us… I will just look at how it is applied

There will definitely be an attribution on the exam. Based on the mock, it very well could be macro.

Ok the global attr. question was asked on 2007 exam. they should ask something else now… (starting to gamble)

i wd just memorise it …if it shows up in the morning atleast you get pts for putting down the formula …thatz what i 'm doing although i have an understanding of he rest of the SS ( benchmarks …etc )

Atcually global perf. attribu is not that bad, at first it’s intimadating but definitely a lot more intuitive than macro attribution. Just think overweight strong market, strong currency, strong security…would type more but brain’s fried right now

how can they ask a calculation question on macro? is there even a formula for that?

Macro calculations were in the CFAI mock exam.


When you say macro, which calculation ?

No Calc, just know the levels 1) Net contribution 2. Rsk free return 3. Asset Category return 4. Benchmark return 5. Investment mgr return 6. Allocation effect With each step taking on more and more rsk

if there was no calc, what is everyone freaking out about?

Diff between Asset Category and RF is return earned on passive indexing strategy: calc = sum (Category Weight) x (Category Return - Risk Free Return) — be sure to adjust RF for time period if annualized Diff between Benchmark and Asset is for manager’s style calc = sum (Category Weight) x (Mngrs’ Weight in Category) x (Benchmark return for mngr - Category return) Diff bwn investment manager and benchmark is mngrs active return contribution calc = sum (category weight) x (mngr’s weight in category) x (mngr’s return - benchmark return for mngr)

I do not think it’s worth the time to go through it now. The probability is low-my opinion.

hmmm adjust rfr… i missed that. good tip valmore! if you look at the second and third equation, first two weight is the weight of the manager in overall portfolio, nothing fancy and the same weights used in both. If they ask micro attr i am toast!

This is gotta be correct… I compiled it from another thread Sponsor chooses to split assets up between equity and FI. (60% Equity 40% FI) The Risk free rate is .41% for the period being assesed Actual Returns Actual Benchmarks Domestic Equites 4.35 4.45 Equity Manager Alan 4.74 4.84 Equity Manager Bob 4.00 4.20 Domestic FI 2.30 2.40 FI Manager Coolio 1.70 1.80 FI Manager Dummy 3.40 3.50 The question is based on macro attribution, the incremental return attributed to asset category is? Hmm, i would do: Risk-Free = 0.41% Asset Category = 0.6 %*(4.45 – 0.41) + 0.4*(2.4 – 0.41) Benchmark = 0.6 *0.5 *(4.84 – 4.45) + 0.6 *0.5 * (4.20 – 4.45) + 0.4 * 0.5 * (1.8 – 2.4) + 0.4 * 0.5 * (3.5 – 2.4) Active = 0.6 * 0.5 *(4.74 – 4.84) + 0.6 * 0.5 * (4 – 4.2) + 0.4 * 0.5 * (1.7 – 1.8) + 0.4 * 0.5 * (3.4 – 3.5) = -0.13%

That is Correct.

willy why didnt u include FI for asset category?