In: Finance
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 |
0.1 |
1.7 (Barclay’s Aggregate) |
Cash |
0.5 |
|
0.3 |
0.3 |
0.5 |
|
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.)
|
|
The manager’s return in the month
is |
|
% |
|
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.)
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.)
|
|
Contribution of security selection |
|
% |
|
c. What was the contribution of asset
allocation to relative performance? (Do not round
intermediate calculations. Round your answer to 2 decimal places.
Negative amount should be indicated by a minus sign.)
|
|
Contribution of asset allocation |
|
% |
|