Question
In: Finance
Considering the following information regarding the performance of a portfolio manager in a recent quarter. Manager’s...
Considering the following information regarding the performance of a portfolio manager in a recent quarter.
|
Manager’s Return |
Manager’s Weight |
Market weight |
Market Return |
|
|
Stocks |
1% |
0.50 |
0.30 |
2% |
|
Bonds |
2% |
0.30 |
0.30 |
1.5% |
|
Marketable securities |
0.75% |
0.20 |
0.40 |
0.5% |
What is the market return of the portfolio in percentage?
What is the return of the manager's portfolio in percentage?
What is the Alpha (in percentage) of the manager's portfolio compared to benchmark (market)?
Identify the contributions (in percentage) of security selection to relative performance.
Identify the contributions (in percentage) of asset allocation to relative performance.
Solutions
Expert Solution
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jeff jeffy answered 2 years agoRelated Solutions
Answer Q19-Q23 considering the following information regarding the performance of a portfolio manager in a recent...
Answer Q19-Q23 considering the following information regarding
the performance of a portfolio manager in a recent quarter.
Manager’s Return
Manager’s Weight
Market weight
Market Return
Stocks
1%
0.50
0.30
2%
Bonds
2%
0.30
0.30
1.5%
Marketable securities
0.75%
0.20
0.40
0.5%
What is the market return of the portfolio in percentage?
What is the return of the manager's portfolio in percentage?
What is the Alpha (in percentage) of the manager's portfolio
compared to benchmark (market)?
Identify the contributions (in...
Consider the following information regarding the performance of a money manager in a recent month. The...
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
%
0.5
0.4
2.5% (S&P 500)
Bonds
1.8
0.3...
Consider the following information regarding the performance of a money manager in a recent month. The...
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
%
0.5
0.4
2.5% (S&P
500)
Bonds
1.8
0.3...
Consider the following information regarding the performance of a money manager in a recent month. The...
Consider the following information regarding the performance of
a money manager in a recent month. The table presents 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 indexes in column (4).
(1)
Actual
Return
(2)
Actual
Weight
(3)
Benchmark
Weight
(4)
Index
Return
Equity
3.5%
0.40
0.30
4.3%
(S&P 500)...
Consider the following information regarding the performance of a money manager in a recent month. The...
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
%
0.5
0.4
2.5% (S&P 500)
Bonds
1.8
0.3...
Consider the following information regarding the performance of a money manager in a recent month. The...
Consider the following information regarding the performance of
a money manager in a recent month. The table presents 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 indexes in column (4).
(1)
Actual
Return
(2)
Actual
Weight
(3)
Benchmark
Weight
(4)
Index
Return
Equity
2.7%
0.70
0.50
3.2%
(S&P 500)...
Consider the following information regarding the performance of a money manager in a recent month. The...
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
2.6
%
0.4
0.6
3.1% (S&P 500)
Bonds
1.5
0.2...
Consider the following information regarding the performance of a money manager in a recent month. The...
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
2.5
%
0.6
0.6
3% (S&P 500)
Bonds
1.5
0.1...
Consider the following information regarding the performance of a money manager in a recent month. The...
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
2.1
%
0.7
0.5
2.6% (S&P 500)
Bonds
1.1
0.1...
Consider the following information regarding the performance of a money manager in a recent month. The...
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
2.5
%
0.6
0.6
3% (S&P 500)
Bonds
1.5
0.1...
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