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 Index Country U.K. Manager's Weight Manager's Return in Return of Stock Index 0.15 0.30 Country 20% for That Country 12% Japan 0.30 0.10 15 15 U.S. 0.45 0.40 Germany 0.10 0.20 10 5 14 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.
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 Index Country U.K. Manager's Weight Manager's Return in Return of Stock Index 0.15 0.30 Country 20% for That Country 12% Japan 0.30 0.10 15 15 U.S. 0.45 0.40 Germany 0.10 0.20 10 5 14 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.
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 Index
Country
U.K.
Manager's
Weight
Manager's Return in Return of Stock Index
0.15
0.30
Country
20%
for That Country
12%
Japan
0.30
0.10
15
15
U.S.
0.45
0.40
Germany
0.10
0.20
10
5
14
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.
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