Question

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 3.1% 0.70 0.50 3.9% (S&P 500) Bonds 2.6 0.10 0.30 2.8 (Aggregate Bond Index) Cash 1.9 0.20 0.20 1.9 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.) % 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 %

Answer 1

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Home ert Page Layout Formulas Data Review V Add-Ins Cut Σ AutoSum , a copy ▼ Fill В า 프. m. a-Δ. Ξミ 迣锂函Merge & Center. $, % , 弼皛Conditional Format. Cell. Insert Delete Format Sort &Find & Filter Select Format Painter 袖 2 Clear , Formatting ▼ as Table-styles ▼ ▼ ▼ ▼ Clipboard Font dting Alignment Z127 AC AD AE AF AG AH Al Al AK 127 128 129 130 131 132 133 EQUITY 134 BOND 135 CASH 136 137 138 a-1 139 a-2 140 b 141 C 142 143 144 145 " О | YTC i NPV 3 ASSETS NPV BENCH MARK ACTUAL ACTUAL MARK MANAGER INDEX WEIGHT WEIGHT RETURN RETURN RETURN BENCH CONTRIBUTION EXCESS CONTRIBUTION EXCESS OF SECURITY WEIGHT OF ASSET RETURN PERFORMANCE SELECTION SELECTION B*(C-D) (C-D) (B-A)D (B-A) 2.17% 0.26% 0.38% 2.81% 50% 30% 20% 1.95% 0.84% 0.38% 3.17% 20% 20% 0% 0.780% -0.560% 0.000% 0.220% 70% 10% 20% 3.10% 2.60% 1.90% 3.90% 2.80% 1.90% -0.80% -0.20% 0.00% -0.560% -0.020% 0.000% -0.580% MANAGER'S RETURN UNDERPERFORMANCE OF MANAGER UNDERPERFORMANCE WITH SECURITY SELECTION OUTPERFORMANCE WITH ASSET SELECTION 2.81% 0.36% [2.81%-3.17%) -0.58% 0.22% - real cat country allocation a mort LOAN OPTIONS SPLIT VALUE OF SHARE HPR REAL RETURN EPS BEST PLAN EAC HIGH LOW Sheet1 0 4 20-04-2019