In the curriculum, Vol 6 page no. 224, why has the market allocation been calculated from returns on base currency? Isnt it supposed to be calculated on returns on local currency? Smbdy pls help…
The intent of this example is to show multi-period attribution. You are correct that the market allocation should be in local currency, but they were obviously trying to simplify the example to highlight how multi-period attribution works…
Thanx for the explanation… 