I just took a mock (not sample) exam via CFAI. Did OK, however, I got hammered on Macro Attribution analysis. It was asking for return contribution by style, by asset category, by benchmark. Does LOS ask for calculation on this material? Thanks
Reading 43, LOS l is asking for the demonstration of the performance attribution.
DEMONSTRATE being the key word
Thanks guys!!
I think the problem with Macro if i remember is that they explain it but I can’t remember if they gave you the actual info to follow along with piece by piece or if they just gave the the ending values. I think I’d be able to do it if give blanks or returns or something that needed to be filled in…
style? what is by style? is it rStyle - rBenchmark? i dont remember style part in Macro attribution (unless you mean by manager)
According to Stalla you have the following: Beginning Value Net Contributions Risk-free Asset Asset Category - this effectively represents a pure index fund approach based on SAA Benchmark - passively invets the funds’ BV and NCF’s in the aggegate benchmarks of the funds’ investmetn managers, teh difference between the managers aggregate benchmarks and the aggregate of the asset category benchmarks represents ‘style bias’ or ‘misfit return’. Investment Managers - Active Management - it assumes the added value of active mgmt is in accordance with the managers’ policy allocations rec’d from sponsor Allocation Effects - reconciling factor to make it all sum up.
i see so by style they mean rB-rAsset. makes sense
Remember with Macro you start at the top and add each pieces “Incremental” return and associated Value going down the list.
it doesnt really matter where you start it is just a delta
True, but its just easier if you start at the top :)…let me guess CSK you liek the bottom…
There were equations on Macro Attribution in the CFAI text, but they were of the nasty double sum kind, right? I would think the odds of this appearing on the exam in that form to be rather low… but who knows. I think macro attribution is more likely to appear in a qualitative sense, with a table of info and some interpretation questions. BTW… NRABIA!!! * Net Contributions * Risk-free Asset * Asset Category - this effectively represents a pure index fund approach based on SAA * Benchmark - passively invets the funds’ BV and NCF’s in the aggegate benchmarks of the funds’ investmetn managers, teh difference between the managers aggregate benchmarks and the aggregate of the asset category benchmarks represents ‘style bias’ or ‘misfit return’. * Investment Managers - Active Management - it assumes the added value of active mgmt is in accordance with the managers’ policy allocations rec’d from sponsor * Allocation Effects - reconciling factor to make it all sum up.
holy crap cfai is asking to calc macro attribution, I know micro but figured they would not have macro…I have to take a look at this.