Micro Performance Attribution

Any tip to remember the Micro Performance Attribution Formula ? Thanks and good luck !

for me, i’ve gotten away from true formula memorization on this - understand the concepts, and the calculation almost “writes itself” i’d advise doing several examples - lay out the performance and weights of the benchmark and the portfolio in a matrix (like an excel sheet). Its not as bad as it seems. GIPS is another story - i’ve never completely punted a CFA section before, but seriously, what are we gonna see on GIPS - 1 item set? so 6 questions, maybe by knowing the barebones basics, plus pure luck, i can get 3 out of 6 right. I’d sign up for that right now and make up the points elsewhere.

micro P = (wpj-wbj) (rbj-rb) A = wpj-wbj) (rpj-rbj W= wbj (rpj-rbj) Look closely (john nash style) dont u see a pattern? peanut butter repeats 1st bracket top 2 are the same 2nd bracket last 2 are the same W the last letter only has a BJ for the 1st bracket P second bracket only has bj and b

Also macro ac is important during the exam AC = wii (rci -rf) IS = wii wij (rbi-rci) IM = wii wij (rai-rbi) the second bracket …the frist shall be last ( in this case second) the first bracket has a wii follow by a wii and a wij ok imma stop u guys get the pic

Good idea, I got a wii too. Micro Attribution (psi): Rv=P-B =sum(wpj*Pj - wbj*Bj) =sum(dwj*Bj’ +wj*dBj + dwj*dBj) Now it’s close to the final formula: Rv=sum[(wpj-wbj)*(Bj-B) + wbj*(Pj-Bj) + (wpj-wbj)*(Pj-Bj)] Rv=Pure sector allocation + within-sector Selection + allocation/selection Interaction Done. – I removed R since all are about R.


Thnaks guys, I’m now Micro-Performance-Attribution-Formula-Proof