2. A global equity manager is assigned to select stocks from a universe of large stocks throughout the world. The manager will be evaluated by comparing his returns to the return on the MSCI World Market Portfolio, but he is free to hold stocks from various countries in whatever proportions he finds desirable. Results for a given month are contained in the following table: Weight in MSCI Index Country 4 U.K. Japan U.S. Germany 0.15 0.30 0.45 0.10 Manager's Weight 0.30 0.10 0.40 0.20 Manager's Return in Country 25% 20% 18% 8% Return of Stock Index in Country 14% (FTSE100) (TOPIX) 18% 16% (S&P500) 12% (DAX) a. Calculate the total value added of all the manager's decisions this period. b. Calculate c. the value added (or subtracted) by the manager's country allocation the value added for attract decisions. Calculate the value added from the manager's stock selection ability within countries. Confirm that the sum of the contributions to value added from his country allocation plus security selection decisions equals total over or under performance.
2. A global equity manager is assigned to select stocks from a universe of large stocks throughout the world. The manager will be evaluated by comparing his returns to the return on the MSCI World Market Portfolio, but he is free to hold stocks from various countries in whatever proportions he finds desirable. Results for a given month are contained in the following table: Weight in MSCI Index Country 4 U.K. Japan U.S. Germany 0.15 0.30 0.45 0.10 Manager's Weight 0.30 0.10 0.40 0.20 Manager's Return in Country 25% 20% 18% 8% Return of Stock Index in Country 14% (FTSE100) (TOPIX) 18% 16% (S&P500) 12% (DAX) a. Calculate the total value added of all the manager's decisions this period. b. Calculate c. the value added (or subtracted) by the manager's country allocation the value added for attract decisions. Calculate the value added from the manager's stock selection ability within countries. Confirm that the sum of the contributions to value added from his country allocation plus security selection decisions equals total over or under performance.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:2. A global equity manager is assigned to select stocks from a universe of large stocks
throughout the world. The manager will be evaluated by comparing his returns to the
return on the MSCI World Market Portfolio, but he is free to hold stocks from various
countries in whatever proportions he finds desirable. Results for a given month are
contained in the following table:
Country
U.K.
Japan
U.S.
Germany
Weight in
MSCI
Index
0.15
0.30
0.45
0.10
Manager's
Weight
0.30
0.10
0.40
0.20
Manager's Return
in Country
25%
20%
15%
5%
Return of Stock
Index in Country
14% (FTSE100)
18% (TOPIX)
16% (S&P500)
(DAX)
12%
a. Calculate the total value added of all the manager's decisions this period.
Calculate the value added (or subtracted) by the manager's country allocation
b.
decisions. ve added for su
c.
Calculate the value added from the manager's stock selection ability within
countries. Confirm that the sum of the contributions to value added from his country
allocation plus security selection decisions equals total over or under performance.
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