return components in GPE

1-Components of return (capitl gain, yield, currency)

  1. 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.
  2. 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
  3. remaining part is due to security selection performance…This is a plug in number (cap gain- market ret. compnt.)
  4. Above stuff is all local, so convert in to domestic return by using currency effects.
  5. 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.

  1. Benchmark domstic return: Same as the above #1 sentence
  2. Market allocation: (difference in port. and benchmark weight for the asset)*Local bencmark return
  3. Security selection was a plug number above, here= port. weight*(local porf return-locak bencmrk ret)
  4. Currency effect= weight port.*(Domstc ret-loc.ret)