A fund manager is responsible for two portfolios. Details relating to these two portfolios, the market return and the risk-free rate are provided below.

	Portfolio A	Portfolio B	Market	Risk-Free
Return	12.75%	8.85%	9.58%	4.3%
σ	38%	22%	28%	N/A
β	1.4	0.8	1	N/A
σ(e)	2%	5%	N/A	N/A

Use the table above to calculate the following for each portfolio and identify which portfolio performed best based on each metric: M² Measure; Treynor Measure; Jensen's Alpha and Information Ratio. 

2. The table below documents the asset allocation and returns for the bogey portfolio and a managed fund. Calculate the excess returns generated by the managed fund. 

Calculate the attribution of portfolio returns between asset allocation and security selection. 

	Bogey Weights	Market Return	Portfolio Weights	Portfolio Returns
Equity	65%	6.42%	75%	7.12%
Fixed Income	25%	3.32%	20%	3.24%
Cash	10%	2.12%	5%	2.12%

Answer rating: 100% (QA)

Portfolio Performance Metrics a M2 Measure M2 Measure Portfolio Return RiskFree Rate Market Return R... View the full answer