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8 Cards in this Set
- Front
- Back
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What is a Benchmark ?
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An Benchmark ist eine Referenzgrösse, gegenüber welcher die Performance des Portfolios verglichen wird.
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Benchmark- rendite Formula for Balanced benchmark ?
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A benchmark, which contains the indizes in different Currencies are calculated as per their weights in benchmark and their returns included effect of currency exchanges.
R(BM) = bigsigma(i=1,n)[w(i)*R(i,RW)] where R(i,RW) = (1 + R(i,local)) * (1 + R(exchange) -1 |
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What are the two Evolution Attributions-Methodes ?
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1. Brinson-Fachler
2. Brinson-Hood-Beebower |
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Brinson-Fachler Method Formula ?
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Ecess Return = Portfolio Return - Return Benchmark.
R(p) - R(b) = ... Picture from Iphone. |
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Brinson-Hood-Beebower Method Formula ?
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Picture from Iphone
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Aufgabe 9 von Serie A Page 6
Tabelle zu füllen mit Allocation Effect, Selection Effect und Intraction Effect. |
AE = 0.155%
SE = -0.163% IE = 2.000% |
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How is the Excess Return is calculated ?
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Excess Return = AE + SE + IE
i.e. Contribution of Asset Allocation ( weights difference) + Contribution of Asset Selection ( Return difference) + Interaction Effect (Residual) details formula look for the Picture in Iphone. |
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what is the difference between the Brinson-Fachler and Brinson-Hood-Beebower formula for Excess Return calculation ?
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under Asset allocation effect is not cosiderd for the context of Benchmakrt Total return.
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