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(Solution Download) Consider the following information regarding the performance of a money manager in a recent month. T


 

 

 

 

 

 

 

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 managerAc??cs 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

 

3.2%

0.800.50

 

   4.0%

(S&P 500)
   Bonds2.80.100.40

 

  2.9

(Aggregate Bond index)
   Cash2.00.100.10

 

  2.0

 

 

 

 

 

 

 

 

a1.

 

What was the managerAc??cs return in the month? (Do not

 

round intermediate calculations. Round your answer to 2 decimal

 

places.)

 

 

 

 

 

 

 

 

 

ManagerAc??cs

 

return=_____________%

 

 

 

 

 

 

 

 

a2.

 

What was her over or underperformance? (Input the value

 

as positive value. Do not round intermediate calculations. Round

 

your answer to 2 decimal places.)

 

 

 

 

 

 

 

 

 

Underperformance or

 

overperformance?=___________%

 

  

 

 

 

 

 

 

 

 

 

  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=____________%


 


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