Reading 35: fund of funds attribution analysis (macro attribution)

CFA Level III Portfolio Management
#1

in the CFAI, book 6, reading 35, page 202:

I have been trying to recompute the Allocation & selection % for Year 1.

For allocation to product A, I get (70% portfolio weight-80% benchmark weight) * (4.32 benchmark Global Aggregate return - 3.84 total benchmark return)= -4.80%

The CFAI books shows for Year 1:

Product A

−0.38%

Is anyone able to get -0.38%?

#2

Anyone?

#3

I got (70% - 80%) x (4.32% - 3.84%) = 0.048%

You might want to write to CFA Institute about this. There is a possibility of an error or they could be using some other ways to derive the allocation effect.

In any case, the first table was enough to infer that we should fire the chief fixed-income strategist.

#4

Nope. CFAI formulas deliver different results.

Maybe that’s why they mention a couple of times in the FI Return Attribution section that candidates are expected to be able to interpret, but not calculate, these results.

#5

I guess someone else already reported the error, as I got a quick reply from the Curriculum team:

"Dear candidate,

You are correct that the figures are wrong in this table. An errata will be issued shortly.

Thank you for pointing this out."

#6

Thanks for update !

#7

You’d think that the curriculum team would be smart enough to know that “errata” is plural, and that they should have written, “An _errat um _ will be issued shortly.”

Sigh.

#8

Fund of funds of funds of funds! Try attribution on that!

#9
#10

It was the most waste of time check this macro attribution… I mean this numbers is not the main core of the question…

But after waste my time I realized 3 tricky issues:

  1. fisrt there is an erratum in CFA Program;
  2. there is an error in the erratum ( the second year of selection number);
  3. the selection is considering selection plus interaction…