Hi Guys, I’m struggling with this. Those who have done this, please explain to me the calcs on CFAI book 6 page 206. I cannot get the market allocation calcs. The formula gives me a different answer. I’m trying to use schwesers formula- R on benchmark in foreign currency (weight in portfolio - weight in benchmark) Thanks
anybody?
I find correlating the formulae to the actual calculation a bit confusing too. ik I know this is not what you asked but I always calculate the market allocation = Portfolio return in base currency - Benchmark return in base currency - Security Selection It has been a while since i did Book 6, but I think this worked for all the EOC questions
Just to add, the thing that I found confusing is that they do not use the formula in the Performance Attribution section. (It looks more like the forumula in the previous reading for the pure Sector Allocation ). Confusing, why go to the trouble of writing down formulae if you are not going to be using it.
As Schwesers says- Los does not ask for any calcs here.So just forget about the formulas for this portion right !!!
I don’t think the EOC questions in the CFAI text are specifically written to the LOSs. I could be wrong though.
^^Not to mention whole sections of the CFAI texts that seem to be unrelated to LOSs
Hi Derswap, I don’t get whats the confusion…the formula what you’ve put up gives the answer in the book… Market allocation for period 1 = (.6-.5)(.20) + (.4-.5)(0) = .02 = 2% Market allocation for period 2 = (.55-.5)(.10) + (.45-.5)(.15) = -0.0025 = -0.25%