Book p197 the Allocation method is taking into account the benchmark excess return = which is not the case in single level Brinson model on p182, can someone explain please?
Thank you.
I am just looking for which model they request - I think Fachler = another word = another variable to equation to remind myself. Hope this is correct, if not someone else LMK!
- Brinson Model: (Wp - Wb) x Rb
- Brinson-Fachler: (Wp-Wb) x (Rb - Rp)
Rather than names, it’s best to remember:
Micro-attribution: (Wp-Wb) * (Rb. - Rb…)
Macro-attribution: (Wp-Wb) * (Rb.)
Where Rb. is equal to the return on the benchmark for a specific sector (think there’s 3 sectors, but you’re only concerned about the technology sector. Rb… is the overall benchmark return (look for it in the total row).