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 28 1 0.5 Actual Weight 0.70 0.20 0.10 Contribution of asset allocation 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.) The manager's return in the month is % % Benchmark Weight 0.60 0.30 0.10 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.) Index Return % 2.5% (S&P 500) 1.2 (Barclay's Aggregate) 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.) 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.)
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 28 1 0.5 Actual Weight 0.70 0.20 0.10 Contribution of asset allocation 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.) The manager's return in the month is % % Benchmark Weight 0.60 0.30 0.10 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.) Index Return % 2.5% (S&P 500) 1.2 (Barclay's Aggregate) 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.) 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.)
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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Question
Nn.155.
Subject :- Finance
Transcribed Image Text: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%
1
0.5
The manager's return in the month is
Actual Weight
0.70
0.20
0.10
Contribution of security selection
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.)
Contribution of asset allocation
%
%
Benchmark Weight
0.60
0.30
0.10
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.)
Index Return
2.5% (S&P 500)
1.2 (Barclay's Aggregate)
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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