** Appendix A**

** Simple Attribution**

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**A.1 ATTRIBUTION METHODOLOGY**

The following methodology has been developed for use with single currency portfolios.

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**A.1.1 Scenario**

Suppose we have a portfolio invested in *n* asset classes or industrial sectors. Then, suppose that the performance of this portfolio is measured against a benchmark.

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**A.1.2 Portfolio returns**

Let the weight of the portfolio in the

*i*th asset class be

*w*_{i}, where Σ

*w*_{i} = 1, and let the return of the portfolio assets in the

*i*th asset class be

*r*_{i} . Now the total portfolio return is:

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**A.1.3 Benchmark returns**

Let the weight of the benchmark in the *i*th asset class be *W*_{i} , where Σ *W*_{i} = 1, and let the return of the benchmark for the *i*th asset class in the base currency of the portfolio be *b*_{i}. Now the total benchmark return is:

(as it is in the base currency of the portfolio):

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**A.1.4 Semi-notional returns**

We define the semi-notional return of the

*i*th asset class as

*w*_{i}*b*_{i}. Now the total semi-notional return is:

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**A.1.5 Relative performance**

We define the performance of the portfolio relative to the benchmark as:

and it is this relative ...