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,

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter7: Analysis Of Financial Statements

Section: Chapter Questions

Problem 5MC

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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. Actual Return Equity Bonds Cash 2% 1 0.5 Required: Actual Weight 0.70 0.20 0.10 Benchmark Weight 0.60 0.30 0.10 Index Return 2.5% (S&P 500) 1.2 (Barclay's Aggregate) 0.5 a-1. What was the manager's return in the month? Note: Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places. The manager's return in the month is % a-2. What was her overperformance or underperformance? Note: Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places. %
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 2% 0.70 0.60 2.5% (S&P 500) Bonds 1 0.20 0.30 1.2 (Barclay’s Aggregate) Cash 0.5 0.10 0.10 0.5 Required: a-1. What was the manager’s return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) a-2. What was her overperformance or underperformance? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.)
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 2% 0.70 0.60 2.5% (S&P 500) Bonds 1 0.20 0.30 1.2 (Barclay’s Aggregate) Cash 0.5 0.10 0.10 0.5 b. What was the contribution of security selection to relative performance? (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? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
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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%
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. Equity Bonds Cash Actual Return 2.5% 1.5 0.7 The manager's return in the month is Actual Weight 0.3 0.5 0.2 % Benchmark Weight Required: a-1. What was the manager's return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) % 0.7 0.2 0.1 Index Return 3% (S&P 500) 1.8 (Barclay's Aggregate 0.8 a-2. What was her overperformance or underperformance? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.)
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. Equity Bonds Cash Actual Return Actual Weight 2.5% 1.5 0.5 0.6 0.1 0.3 The manager's return in the month is Benchmark Weight % 0.6 0.1 0.3 a-1. What was the manager's return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) % Index Return 3% (S&P 500) 1.7 (Barclay's Aggregate) 0.5 (T-Bills) a-2. What was her overperformance or underperformance? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.)
Which two types of investment criteria are most frequently used by managers today? Multiple Choice O O O O Internal rate of return and net present value Net present value and profitability index Net present value and payback Internal rate of return and payback Average accounting return and internal rate of return D
O Considering the following information regarding the performance of a portfolio manager in a recent quarter, (i) identify the Alpha of the manager's portfolio compared to benchmark (ii) identify the contributions of asset allocation and security selection to relative performance. Stocks Bonds Treasury bills Manager's Manager's Benchmark Benchmark Return Weight Relarn 1% 2% 2% 1.5% 0.75% 0.5% 0.50 0.30 0.20 weight 0.30 0.30 0.40
which of the following quantifies how closely a manager's return pattern follows that of a benchmark index? Scenarios Value risk Tracking error multi factor model
Subject:- finance