Скачать или смотреть CFA Level 3 | Equity Return Attribution (Brinson-Fachler Model)

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CFA Level 3
Volume 3: Performance Measurement
Learning Module 1: Portfolio Performance Evaluation

When a manager outperforms or underperforms the benchmark, a question we will want to explore is: What contributed to it? And to answer that question, we have to conduct a performance attribution process.

For equity return attribution, this can be done using the Brinson-Fachler model, which is the focus of the CFA Level 3 syllabus. The Brinson-Hood-Beebower (BHB) model is first introduced to form the foundation, but Brinson-Fachler is the focus in this case.

In the model, there are three effects:
Allocation effect
Selection effect
Interaction effect