I meet one question on attribution analysis. 2016 Sep Q7.
I tried the calculations on the excel, while I have not achieved the same number as the solution for benchmark value at end year 2. If the solutions are produced by excel, then the result shall be same. I agree with the solution that the benchmark value at the end of year 1 is 213.6. Considering the 60 disinvestment and the components within the benchmark portfolio are equally weighted, then the investment in each components is 30.7. In that case, the emerging market equities within the benchmark at the end of year 2 shall be 33.48, without loss of accuracy. While the model solution is 33.6374.
I did not find a way to upload my excel calculations here. If there is way, very happy to know.
Also, the last part of the solution mentioned that “Asset allocation – has added minimal value over the period.” I do not understand this, since sector selection provides a return about 0.18% in the first year and 0.21% in the second year. And it provides a better result that stock selection. So what does asset allocation mean here?
Many thanks.
Last edited: Sep 11, 2021