{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

This preview shows pages 1–2. Sign up to view the full content.

Global Performance Attribution Example Country EAFE Index Index Total Currency Change Portfolio Portfolio Weight LC Return Weight LC Return (w*) (I) (c) (w) Europe .20 10% 10% .35 8% Australia .20 5% - 10% .10 7% Far East .60 15% 30% .55 18% • r 0 = w* j I j0 + (w j - w* j )I j + (w j - w* j )s j + w j (p j - I j ) • r 0 = int'l + market + currency + security benchmark allocation allocation selection returns contribution contribution contribution 1. Overall Performance (in dollars). EAFE Return (I*) = .20(10% + 10%) + .20(5% - 10%) + .60(15% + 30%) = 30.00%. Portfolio Return = .35(8% + 10%) + .10(7% - 10%) + .55(18% + 30%) = 32.40%. • portfolio outperformed EAFE by 2.40%; now undertake attribution analysis 2. Market Allocation Contribution (Country Selection). MAC = (.35 - .20)10% + (.10 - .20)5% + (.55 - .60)15% = .25%. 3. Currency Allocation Contribution (Currency Selection). CAC = (.35 - .20)10% + (.10 - .20)(-10%) + (.55 - .60)30% = 1.00%. 4. Security Selection Contribution. SSC = .35(8% - 10%) + .10(7% - 5%) + .55(18% - 15%) = 1.15% • r 0 = 30.00% + 0.25% + 1.00% + 1.15% = 32.40%.

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
Alternative Approach
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### What students are saying

• As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

Kiran Temple University Fox School of Business ‘17, Course Hero Intern

• I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

Dana University of Pennsylvania ‘17, Course Hero Intern

• The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

Jill Tulane University ‘16, Course Hero Intern