Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1 , the fraction of the portfolio allocated to each sector in column 2 , the benchmark or neutral sector allocations in column 3 , and the returns of sector indices in column 4. \table[[,Actual,Benchmark],[Return,Actual Weight,Weight,Index Return,],[Equity,2.2%,0.4,0.5,2.7%
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1 , the fraction of the portfolio allocated to each sector in column 2 , the benchmark or neutral sector allocations in column 3 , and the returns of sector indices in column 4. \table[[,Actual,Benchmark],[Return,Actual Weight,Weight,Index Return,],[Equity,2.2%,0.4,0.5,2.7%
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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Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1 , the fraction of the portfolio allocated to each sector in column 2 , the benchmark or neutral sector allocations in column 3 , and the returns of sector indices in column 4. \table[[,Actual,Benchmark],[Return,Actual Weight,Weight,Index Return,],[Equity ,2.2%,0.4,0.5,2.7%
Transcribed Image Text:es
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual
return of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the
benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4.
Actual
Return
Actual Weight
Benchmark
Weight
Index Return
Equity
Bonds
Cash
2.2%
0.4
0.5
2.7%
1.1%
0.2
0.2
1.5%
0.7%
0.4
0.3
0.8%
Required:
a-1. What was the manager's return in the month?
Note: Do not round intermediate calculations. Input amount as positive value. Round your answer to 2 decimal places.
a-2. What was her overperformance or underperformance?
Note: Do not round intermediate calculations. Input amount as positive value. Round your answer to 2 decimal places.
b. What was the contribution of security selection to relative performance?
Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a
minus sign.
c. What was the contribution of asset allocation to relative performance?
Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a
minus sign.
a-1. The manager's return in the month is
a-2.
b.
Contribution of security selection
C.
Contribution of asset allocation
%
%
%
%
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