Reading 35 portfolio performance evaluation - Attribution analysis

CFA Level III Portfolio Management
#1

Hello Dears,

one thing is confusing me. under Brinson Model when we calculated allocation and selection effects we used the benchmark sector returns. the equation for allocation is (page 182 CFA Books):
Ai= (wi-Wi)Bi

however, when doing the attribution analysis at multiple levels, they used slightly different equation (Page 197 + 198), where they considered the deviation from the aggregate benchmark return.
the equation used: Ai= (wi-Wi)(Bi-B)

Has any one a reasonable explanation? thank u in advance.

Regards

#2

Two models: Brinson (B_i) and Brinson-Fachler (B_i - B).

#3

I C … many thanks

#4

My pleasure.

#5

Ha, I had the same question some time ago and magician pointed this out

#6

magician is the best … he always helps me when i need help

#7

Thanks but I always fail to understand when to use which one. I get that there are two models, but I have not found anywhere a good explanation why to use one over the another. And CFAI does not seem to say in the problem which one to use.

#8

I should think that on the real exam they would have to tell you which model to use.

I’ll shoot them an e-mail and ask.