Micro / Macro Attribution Calc.

CFA Level III Portfolio Management
#1

Do you use beginning of period or end of period weighting for the actual weights variable in the calculation?

Thanks,

Mike

#2

Beginning ones. However, it seems like you began from the end.

#3

Would it matter if you were using daily or modified dietz calculate the return? I am creating a performance report for a client that is invested in over 50 PE firms. For previous monthly performance reports I have been using beginning of the period values to calculate the asset class weights. However, I am starting to think that I should account for the cash flows during the month, and use an adjusted beginning value. Is there a specific excerpt from the text that discusses the use of beginning values to calculate the appropriate weights?

#4

Beginning or average balance (modified dietz) are both acceptable, as long as you are consistent. The industry standard is moving to daily returns, which would eliminate the difference.

#5

That makes a lot of sense - I appreciate both your guys help!

Thanks,

Mike