Question

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 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 3.8% 0.60 0.50 4.3% (S&P 500)
Bonds 2.5 0.20 0.30 3.4 (Aggregate Bond Index)
Cash 2.5 0.20 0.20 2.5

a-1. What was the manager’s return in the month? (Do not round intermediate calculations. Round your answer to 2 decimal places.)


Manager’s return             %

a-2. What was her over or underperformance? (Input the value as positive value. Do not round intermediate calculations. Round your answer to 2 decimal places.)

(Click to select)OverperformanceUnderperformance         %

b. What was the contribution of security selection to relative performance? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)

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.)

Contribution of asset allocation             %

Solutions

Expert Solution


Related Solutions

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...
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 % 0.6 0.6 3.1% (S&P 500) Bonds 1.5 0.2...
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT