7. Global Attribution - Global Performance Attribution...

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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%.
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This note was uploaded on 09/27/2009 for the course UGBA 133 taught by Professor Distad during the Summer '08 term at University of California, Berkeley.

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7. Global Attribution - Global Performance Attribution...

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