# MOCK question "recreation" Macro Attribution

Here is a likeness to one question that I was finally able to recreate from my scratch work fromt the mock exam: (excuse the typos- I am trying to make a living and study at the same time. Life is tough). 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? Now, I post this question becuase I challenge any of you to go to V6 p38 and on, and tell me how we were prepared to answer this question with a fighting chance. I know the answer (at least I think I do), but no help to the text, and I feel that CFAI wasn;t thoughtful in putting that type of question on the mock exam. If anybody is interested I will post what I think is the answer later in the thread.

what % is each manager of the categories? 50/50?

Also need overall asset catergory allocation, how much to equity and how much to FI?

That he gave, 60/40…but we need the manager allocations.

^Sorry, didn’t see it.

Big, looks like you beat SS16???

Not yet…the battle has only begun…Work is interrupting.

You work??

ws Wrote: ------------------------------------------------------- > You work?? Lol

Boris, you there?

Ok, Assuming 50/50 within the Categories since Boris Disappeared: Risk-Free = 0.41% Asset Category = 0.6%*(4.35 – 0.41) + 0.4*(2.3 – 0.41) = 3.12% Benchmark = 0.6 *0.5 *(4.84 – 4.35) + 0.6 *0.5 * (4.20 – 4.35) + 0.4 * 0.5 * (1.8 – 2.3) + 0.4 * 0.5 * (3.5 – 2.3) = +0.242% 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%

If I’m not mistaken, you don;t need specific manager allocations for asset category allocation.

Oh, thought you wanted it all… AC is 3.12% as per above.

bigwilly Wrote: ------------------------------------------------------- > Ok, Assuming 50/50 within the Categories since > Boris Disappeared: > > Risk-Free = 0.41% > Asset Category = 0.6%*(4.35 – 0.41) + 0.4*(2.3 – > 0.41) = 3.12% > > Benchmark = 0.6 *0.5 *(4.84 – 4.35) + 0.6 *0.5 * > (4.20 – 4.35) + 0.4 * 0.5 * (1.8 – 2.3) + 0.4 * > 0.5 * (3.5 – 2.3) = +0.242% > > 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% Beautiful…absolutly beasutiful.

boris3006 Wrote: ------------------------------------------------------- > If I’m not mistaken, you don;t need specific > manager allocations for asset category allocation. Correct!!

WS you have brought Tears to my eyes!!!

^Big…you had me at “OK, assuming 50/50…”

lol

3.12 is what I got also for AC. Your Benchmark calcs look good too. Assuming 50-50.

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)