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: Return of Stock Index for That Country U.K. Weight In MSCI Index 0.17 Manager's Weight 0.34 Manager's Return in Country 20% Country 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. Added value % 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. Contribution of country allocation % 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. Contribution of stock selection %
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: Return of Stock Index for That Country U.K. Weight In MSCI Index 0.17 Manager's Weight 0.34 Manager's Return in Country 20% Country 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. Added value % 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. Contribution of country allocation % 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. Contribution of stock selection %
Essentials of Business Analytics (MindTap Course List)
2nd Edition
ISBN:9781305627734
Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Chapter15: Decision Analysis
Section: Chapter Questions
Problem 4P: Investment advisors estimated the stock market returns for four market segments: computers,...
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