Macro Performance Attribution

Anyone ready to slaughter this beast on Exam Day?

I am better at portfolio attribution

Global Portfolio Attribution that is

I’m very weak with this Macro Performance Attribution… this is at the fund sponsor level correct? ie: Net Contributions, Risk Free, Asset Benchmark, Benchmark, Custom etc… frig don’t even remember them… Haven’t even seen any real questions on this in my Schweser Pro tests.

didn’t see any CFAI questions either. i think this will likely be one of my ‘cross your fingers’ sections. that is, cross em and hope it doesn’t show up exam day.

I am talking about Currency allocation vs market vs security allocation

Remember, you are only allowed to have three ‘cross your finger’ sections :slight_smile:

macro = bad. global perf. attribution analysis = good.

Ahh… I don’t mind the currency allocation, market etc… those are pretty easy marks. Hope they have those questions on there.

seriously these questions in CFAI are frightful… not for the weak. I thought reading 44 had the most difficult questions in the whole curriculum…

We’re talking about the questions with the security effect and currency contribution effect, etc., right? Yeah, I remember going through those and thinking nothing that extensive would be on the test. Funny thing is that the CFA answers seem to be needlessly complicated, with lots of steps. Schweser had some elegant equations that worked well for the security and market effects, if I remember correctly, but I haven’t yet gotten my head around the currency effect equation. If someone can demonstrate that, I’d be grateful. I do remember that you can back out the currency contribution by taking the difference between the asset gain % in domestic currency and the asset gain % in foreign currency. At least I think I remember that. Will review. Now, if someone wants to refresh my memory about the macro performance attribution questions and calculations, please do so… I can’t keep these f-ing things straight.

Pure sector allocation Allocation/Selecction interaction Within sector selection

Ah, that stuff. Those were on Schweser’s 1AM in Book 6. Hadn’t memorized them at the time, but that won’t be a problem come test day. Bring it on.

yea micro attribution and global I have down but hopefully macro doesn’t show up. Does anyone know if we need to know the calcs on macro? I know schweser says we dont need to know calcs on macro/micro (based on how the LOS reads) but then procedes to ask questions about micro calcs.

Stalla instructor said that Miccro we have to know but Macro we just need to know how to analyze not calculate - if you want to believe them… macro I’m scared of.