What do we need to know about NRABIA?
Concepts but not calcualtions, at least according to Schweser.
Are we supposed to know the calculations? It looks like CFA top tests have full blown example with calculations…
One of the online topic tests has few calculation based questions… its tricky but very testable… not sure why schweser says you dont need to know the calculations. either you know the formula or its a pure guess
Are you all sure you mean Macro attribution (NRABIA)? I’ve seen several questions on that, but never involving calculations. Micro attribution on the other hand is always asked incl. calculation.
That’s not correct. Look at last years exam - AM.
That’s not a calculation, that is just interpretation of a table of outputs that is given.
So R+A = indexing strategy
B captures style
I = Active management
How about allocation effect? It captures the return caused by the difference between policy weights and the actual asset allocation? Sth like that?
I think allocation effect is just an “error term” and should be 0 if the analysis was structured correctly. The CFAI currciculum states something in that direction.
honestly this is the dumbest topic/concept in all of CFA IMO
One thing that I have been hung up on, is returns from active management B+I? I know B can be passively reproduced but I thought it represented the active decision to take style bets.
B is style bets, I is active management
NRABIA? Did I miss something?
Seconded
N et contributions (return because of additional contributions…ptf increased in value just because of them).
R FR (Risk free rate return)
A sset class (Asset class return)
B enchmark (Rb)
I nvestment mgr (Ret P)
A llocation effect (which is the only piece where we see the impact of the individual asset mgr and it’s essentially a plug figure between the total return and the above variables)
Last but not least it might be asked to calculate the Incremental return which is the total ret - Net contributions.
^ sorry what is incremental return?
Total ret - net contributions?
What is Total Ret again? Total return? You mean total return after considering all the returns from NRABIA?
V1 = 120 (includes net contribution of 5)
V0 = 100
Tot return = 20
Incremental return = 20-5 =15.
Hope it helps