Intermediate Calculated Returns

Brinson-Fachler attribution derives the currency and cross product returns from the base and local returns. The following table describes each intermediate return calculation.

If the model fee field is chosen in the Options & Field Map Field, the system computes the pro-rated single period model fee and uses the same to calculate net returns.

Return

Formula

Description

Return

Formula

Description

Fund Currency Return

((1+ Base Fund Return) / (1 + Local Fund Return)) − 1

The geometric difference between the Fund base return and the Fund local return.

Fund Cross Product Return

Local Fund Return * Fund Currency Return

Results from the combined effect of the currency and local investment.

Index Currency Return

((1+ Base Index Return) / (1 + Local Index Return)) − 1

The geometric difference between the Index base return and the Index local return.

Index Cross Product Return

Local Index Return * Index Currency Return

Results from the combined effect of the currency and local investment.