macro contribution at the fund level

CFA Level III
#1

i’ve seen many threads about the calculation. did the mock exam include a calculation or was it a conceptual question?

#2

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%

#3

i don’t think there’s space in my brain to include another formula.

#4

its not really a formula. intuitive, take a look u may get the logic.

#5

where does your 0.5 come from?

#6

Equal allocation to fixed income and equity former trader Wrote: ------------------------------------------------------- > where does your 0.5 come from?

#7

i thought it was 60/40?

#8

my bad…brain’s f*cked…equal weight of MANAGERS…