The following information relates to the performance of a manager in August 2020. Benchmark Return on the Actual return Actual Weight weight 0.7 benchmark 6.00% Equity Bonds 6.50% 0.6 3.40% 0.2 0.1 3.60% Cash 0.90% 0.2 0.2 0.90% Using the above data, answer the following questions: Has the manager over-performed or under-performed? b. What was the contribution of security selection to relative performance? What was the contribution of asset allocation to relative performance? d. Confirm that the sum of contribution of security selection to relative performance and contribution of asset allocation to relative performance equal manager's total excess return in а. с. relation to the bogev,
The following information relates to the performance of a manager in August 2020. Benchmark Return on the Actual return Actual Weight weight 0.7 benchmark 6.00% Equity Bonds 6.50% 0.6 3.40% 0.2 0.1 3.60% Cash 0.90% 0.2 0.2 0.90% Using the above data, answer the following questions: Has the manager over-performed or under-performed? b. What was the contribution of security selection to relative performance? What was the contribution of asset allocation to relative performance? d. Confirm that the sum of contribution of security selection to relative performance and contribution of asset allocation to relative performance equal manager's total excess return in а. с. relation to the bogev,
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:The following information relates to the performance of a manager in August 2020.
Benchmark
Return on the
Actual return
Actual Weight
weight
0.7
benchmark
6.00%
Equity
Bonds
6.50%
0.6
3.40%
0.2
0.1
3.60%
Cash
0.90%
0.2
0.2
0.90%
Using the above data, answer the following questions:
Has the manager over-performed or under-performed?
b. What was the contribution of security selection to relative performance?
What was the contribution of asset allocation to relative performance?
d. Confirm that the sum of contribution of security selection to relative performance and
contribution of asset allocation to relative performance equal manager's total excess return in
а.
с.
relation to the bogev,
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