Consider the following performance data for two portfolio managers (A and B) and a common benchmark portfolio:
Question:
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a. Calculate (1) the overall return to the benchmark portfolio,
(2) The overall return to Manager A's actual portfolio,
(3) The overall return to Manager B's actual portfolio.
Briefly comment on whether these managers have under- or outperformed the benchmark fund.
b. Using attribution analysis, calculate (1) the selection effect for Manager A, and (3) the
allocation effect for Manager B. Using these numbers in conjunction with your results from Part a, comment on whether these managers have added value through their selection skills, their allocation skills, orboth.
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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ai 65 335 103 402 aii 54 225 303 241 aiii 35 435 303 281 Manager A outperformed the benchmark fu...View the full answer
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