Pembahasan Ujian PAI: F10 – No. 25 – Mei 2026

• Return total benchmark: \(R_{B} = \sum_{i} \omega_{Bi}\,r_{Bi}\)
• Return total portofolio: \(R_{p} = \sum_{i} \omega_{pi}\,r_{pi}\)
• Active return: \(R_{p} – R_{B}\)
• Allocation Effect: \(A_{i} = \left(\omega_{pi} – \omega_{Bi}\right)\left(r_{Bi} – R_{B}\right)\)
• Selection Effect: \(S_{i} = \omega_{Bi}\left(r_{pi} – r_{Bi}\right)\)
• Interaction Effect: \(I_{i} = \left(w_{pi} – w_{Bi}\right)\left(r_{pi} – r_{Bi}\right)\)

Sumber: https://dataninjago.com/2025/01/19/coding-towards-cfa-36-performance-attribution-with-brinson-model-in-dolphindb-and-python/

$$S_{i} = \omega_{pi}\left(r_{pi} – r_{Bi}\right)$$
$$S_{i} = 40\%\left(10\% – 8\%\right)$$
$$S_{i} = 0{,}40 \times 2\%$$
$$S_{i} = 0{,}8\%$$

Dengan demikian, Selection effect untuk sektor tersebut sebesar 0,8%.