Performance Attribution Analysis: In Micro Performance Attribution Analysis, when we calculate “Within-Sector Selection”, we used the weight of the sectors in the benchmark * the return difference between the returns for the sector in the portfolio and in the benchmark. This makes sense to me. However, when we move to Global Performance Attribution Analysis, when we calculate “Security Selection Contribution”, we used the weight of the portfolio (instead of the weight of the benchmark) * the difference in portfolio local return and benchmark local return. My question is - why didn’t we use the benchmark weight to calculate Security Selection Contribution in Global Performance Attribution analysis? Thank you very much!
Thank you for asking this question. The question was bothering me too but I decided to not ask and just memorize it. The way I memorized this is that; since we are reconciling the difference in return between the portfolio domestic return and benchmark domestic return under in Global Performance Attribution Analysis, the difference in return has to be multiplied by portfolio weight as opposed to benchmark weight under in domestic attribution analysis. I know it doesn’t make much sense but helped me memorize
I think in global, they are combining within sector selection and allocation/selection interaction into one, called security selection.
Wb(Rp-Rb)+(Wp-Wb)(Rp-Rb) = Wp(Rp-Rb)
My take: Because in your basic global decomposition you are assuming that the country (sector) selection has been made using the same weights as the benchmark, albeit that your implementation was better such that you earned a higher return.
Sorry that didn’t answer things well. I’ve done 3 charts for myself. 1. Micro pert attrib 2. Mkt Return Decompositon 3. Mrk Return attrib Weight BMi/PFi on X-axis ane Return BMi/PFi (and BM for Global Decomposition chart) on Y axis. I then drew boxes on my charts showing where each component measure sat. All I can say is that made things very clear for me, but I just tried to type an explanation and it was garbage. Suggest you try charting the three similar excercises! If yoiu do this you’ll see that 1morelevel is exactly right. What is one measure for global attrib (security selection) is 2 measures for micro attribution (Within-sector selection + Allocation/Selection interaction)
any chance you care to share this delicious sounding chart? slopbox09 at yahoo dot com. Thanks in advance.
Done. Let me know if it’s of any use to you
allépourpêcher Wrote: ------------------------------------------------------- > Done. Let me know if it’s of any use to you Would you please kindly send me too ? email@example.com TKVM !
alright before this gets out of hand… alle, can you upload this to either the CFA L3 google group or to a site like megaupload.com and provide the link? If not, you could send it to me and I will upload it later when I get home from work. Thanks.
alright before this gets out of hand… alle, can you up load this to either the CFA L3 google group or to a site like megaupload.com and provide the link? If not, you could send it to me and I will upload it later when I get home from work. Thanks.
mp2438 (at) gmail
Me to pleaseeeeee....LaGrandeFinale28@gmail.com. Thanks a billion
B_C Wrote: ------------------------------------------------------- > Wb(Rp-Rb)+(Wp-Wb)(Rp-Rb) = Wp(Rp-Rb) This pretty much explains everything mathematically…
Ok it’s uploading to the google group now. Sorry for the jpg format. I’m at my folks place and couldn’t find a pdf scanning option. Plus I’'m assuming of course that this is an accurate pictorial representation. You can let me know!
I was about to upload to google groups until I saw that it was already there. Accessible to me from there. Thanks alle!
sorry, what is the URL to google groups?
Multi-period & Multiple Attributes on P.222~P.226 of V6 is complicated too. Any short-cut ?