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 her returns to the return on the MSCI World Market Portfolio, but she is free to hold stocks from various countries in whatever proportions she finds desirable. Results for a given month are contained in the following table: Weight In MSCI Country Index Manager's Weight Manager's Return in Country Return of Sto Index for Tha Country U.K. 0.17 0.34 20% 12% Japan 0.3 0.2 15% 15% U.S. 0.43 0.34 10% 14% Germany 0.1 0.12 5% 12% Required: a. Calculate the total value added of all the manager's decisions this period. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign. b. Calculate the value added (or subtracted) by her country allocation decisions. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign. c. Calculate the value added from her stock selection ability within countries. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign. a. Added value b. Contribution of country allocation c. Contribution of stock selection % % % 13
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 her returns to the return on the MSCI World Market Portfolio, but she is free to hold stocks from various countries in whatever proportions she finds desirable. Results for a given month are contained in the following table: Weight In MSCI Country Index Manager's Weight Manager's Return in Country Return of Sto Index for Tha Country U.K. 0.17 0.34 20% 12% Japan 0.3 0.2 15% 15% U.S. 0.43 0.34 10% 14% Germany 0.1 0.12 5% 12% Required: a. Calculate the total value added of all the manager's decisions this period. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign. b. Calculate the value added (or subtracted) by her country allocation decisions. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign. c. Calculate the value added from her stock selection ability within countries. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign. a. Added value b. Contribution of country allocation c. Contribution of stock selection % % % 13
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: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 her returns to the
return on the MSCI World Market Portfolio, but she is free to hold stocks from various
countries in whatever proportions she finds desirable. Results for a given month are
contained in the following table:
Weight In MSCI
Country
Index
Manager's Weight
Manager's Return
in Country
Return of Sto
Index for Tha
Country
U.K.
0.17
0.34
20%
12%
Japan
0.3
0.2
15%
15%
U.S.
0.43
0.34
10%
14%
Germany
0.1
0.12
5%
12%
Required:
a. Calculate the total value added of all the manager's decisions this period.
Note: Do not round intermediate calculations. Round your answer to 2 decimal
places. Negative amount should be indicated by a minus sign.
b. Calculate the value added (or subtracted) by her country allocation decisions.
Note: Do not round intermediate calculations. Round your answer to 2 decimal
places. Negative amount should be indicated by a minus sign.
c. Calculate the value added from her stock selection ability within countries.
Note: Do not round intermediate calculations. Round your answer to 2 decimal
places. Negative amount should be indicated by a minus sign.
a. Added value
b. Contribution of country allocation
c. Contribution of stock selection
%
%
%
13
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