Equity Bonds Cash Actual Return 2.1 1.1 0.5 Actual Weight 0.7 0.1 0.2 Benchmark Weight 0.5 0.2 0.3 Index Return 2.6 (S&P 500) 1.3 (Barclay's Aggregate) 0.5 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. a-1. What was the manager's return in the month? a-2. What was her overperformance or underperformance? b. What was the contribution of security selection to relative performance? (Please show your work) c. What was the contribution of asset allocation to relative performance? (Please show your work)
Equity Bonds Cash Actual Return 2.1 1.1 0.5 Actual Weight 0.7 0.1 0.2 Benchmark Weight 0.5 0.2 0.3 Index Return 2.6 (S&P 500) 1.3 (Barclay's Aggregate) 0.5 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. a-1. What was the manager's return in the month? a-2. What was her overperformance or underperformance? b. What was the contribution of security selection to relative performance? (Please show your work) c. What was the contribution of asset allocation to relative performance? (Please show your work)
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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The Return on Equity (RoE) is a measure of the profitability of a business concerning the funds by its stockholders/shareholders. ROE is a metric used generally to determine how well the company utilizes its funds provided by the equity shareholders.
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Am. 408.
Transcribed Image Text:Equity
Bonds
Cash
Actual Return
2.1
1.1
0.5
Actual Weight
0.7
0.1
0.2
Benchmark Weight
0.5
0.2
0.3
Index Return
2.6 (S&P 500)
1.3 (Barclay's Aggregate)
0.5
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.
a-1. What was the manager's return in the month?
a-2. What was her overperformance or underperformance?
b. What was the contribution of security selection to relative performance? (Please show your work)
c. What was the contribution of asset allocation to relative performance? (Please show your work)
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