Consider the following performance data for two portfolio managers (A and B) and a common benchmark portfolio:

BENCHMARK MANAGER A MANAGER B

Weight Return Weight Return Weight Return

Stock 0.6 -5.0% 0.5 -4.0% 0.3 -5.0%

Bonds 0.3 -3.5 0.2 -2.5 0.4 -3.5

Cash 0.1 0.3 0.3 0.3 0.3 0.3

a. Calculate (1) the overall return to the benchmark portfolio, (2) the overall return to Manager As actual portfolio, and (3) the overall return to Manager Bs actual portfo-lio. 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, or both.