Sample Attribution Analysis

CFA Level III
#1

I am reading the curriculum Reading 35 and could not wrap my head around how the exhibit 24 got calculated in the first place. I understand that it was given as a case study but shouldnot the calculation align with the previous definition?

For example, for the Japan market:
For manager A: w = 51%, R = 12.4%
For benchmark: W = 60.5%, B = 11.48%.

Shouldn’t the allocation be (w-W)*B=(51%-60.5%)*11.48%=-1.09%?
but why the allocation is -0.21%?

Also, shouldn’t total be (wR - WB) = -0.62% but in the print, it says 0.26%

The Total makes sense but the regional breakdown doesn’t quite. Any idea?

#2

Allocation effect for Japan
= (Wp - WB) × (Bi - B)
= (51% - 60.5%) × (11.48% - 9.25%)
= -0.21%

wR - WB is for the total portfolio level. On an asset class level, you have to sum the Allocation + Selection + Interaction effects.

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