Attribution analysis uses the Portfolio Manager's and Benchmark's asset allocations and returns across asset classes. A potential investor wishes to understand the skills of a Portfolio Manager based on the data below: Asset Class Port. Weight BM Weight Port. Return BM Return Equity 20% 60% 6% 8% Bonds 80% 40% 6% 4% Which of the following statement is incorrect O The portfolio manager is worse at market timing than the ability to identify mispriced securities. O The portfolio underperformed the benchmark by 0.40% O The selection effect returns is negative O The Allocation Effect return is -1.60% O The sum of selection effect returns and allocation effect returns equal -0.40%
Attribution analysis uses the Portfolio Manager's and Benchmark's asset allocations and returns across asset classes. A potential investor wishes to understand the skills of a Portfolio Manager based on the data below: Asset Class Port. Weight BM Weight Port. Return BM Return Equity 20% 60% 6% 8% Bonds 80% 40% 6% 4% Which of the following statement is incorrect O The portfolio manager is worse at market timing than the ability to identify mispriced securities. O The portfolio underperformed the benchmark by 0.40% O The selection effect returns is negative O The Allocation Effect return is -1.60% O The sum of selection effect returns and allocation effect returns equal -0.40%
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:Attribution analysis uses the Portfolio Manager's and Benchmark's asset
allocations and returns across asset classes. A potential investor wishes to
understand the skills of a Portfolio Manager based on the data below:
Asset Class
Port. Weight
BM Weight
Port. Return
BM Return
Equity
20%
60%
6%
8%
Bonds
80%
40%
6%
4%
Which of the following statement is incorrect
O The portfolio manager is worse at market timing than the ability to identify
mispriced securities.
O The portfolio underperformed the benchmark by 0.40%
O The selection effect returns is negative
O The Allocation Effect return is -1.60%
O The sum of selection effect returns and allocation effect returns equal -0.40%
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