Investments, tenth edition

  Performance Attribution 

 We can measure the contribution of each of these factors following a manner similar to the 

performance attribution techniques introduced in Chapter 24. 

    1.     Currency  selection    measures the contribution to total portfolio performance attrib-

utable to exchange rate fluctuations relative to the investor’s benchmark currency, 

which we will take to be the U.S. dollar. We might use a benchmark like the EAFE 

index to compare a portfolio’s currency selection for a particular period to a passive 

benchmark. EAFE currency selection would be computed as the weighted average 

of the currency appreciation of the currencies represented in the EAFE portfolio 

using as weights the fraction of the EAFE portfolio invested in each currency.  

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7/25/13   2:04 AM

7/25/13   2:04 AM

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