Question: Consider the following performance data for two portfolio managers (A and B) and a common benchmark portfolio: a. Calculate (1) the overall return to the
.png)
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.
BENCHMARK MANAGER A MANAGER B Weight 0.6 Return -5.0% -3.5 Weight 0.5 0.2 0.3 Weight 0.3 0.4 0.3 Return Return -5.0% -3.5 -40% Stock Bonds0.3 Cash -2.5 0.1 0.3 0.3 0.3
Study Help