1-Components of return (capitl gain, yield, currency)
- Decompose capital gain in to market return component and security selection compnt and add yield (assumed 0% )and currency effect to get total domestic return.
- Part of cap. gain is due to market return which considers passive investing return in the local index. Just get index return and adjust with portfolio weight
- remaining part is due to security selection performance…This is a plug in number (cap gain- market ret. compnt.)
- Above stuff is all local, so convert in to domestic return by using currency effects.
- add all together to get total domestic return
2- Global attribution .Differences bwn benchmark returns and bencmrk weights of local and domestic returns are utilized here.
- Benchmark domstic return: Same as the above #1 sentence
- Market allocation: (difference in port. and benchmark weight for the asset)*Local bencmark return
- Security selection was a plug number above, here= port. weight*(local porf return-locak bencmrk ret)
- Currency effect= weight port.*(Domstc ret-loc.ret)