Question: Discuss performance attribution analysis. What are the examples of allocation and selection decisions? How did you portfolio (group project) do on allocation and selection and
- Discuss performance attribution analysis. What are the examples of allocation and selection decisions? How did you portfolio (group project) do on allocation and selection and why?
Use the following information to calculate performance attribution to allocation and selection for a hypothetical fund. Please do not forget to switch the numbers to decimals before doing your calculations. Otherwise, your numbers may look too large. Discuss your findings.
| Sector | Weight (%) | Return (%) | Weight (%) | Return (%) |
|
| Benchmark | Benchmark | Portfolio | Portfolio |
| Telecom | 3 | 1.25 | 2 | 1.00 |
| Utilities | 5 | -1.00 | 5 | -2.00 |
| Consumer Disc. | 12 | 3.00 | 8 | 2.50 |
| Materials | 5 | 1.00 | 5 | 1.25 |
| IT | 16 | 2.25 | 21 | 2.50 |
| Consumer staples | 7 | 1.2 | 9 | 0.75 |
| Industrials | 6 | -1.5 | 12 | -0.75 |
| Financials | 13 | 0.5 | 10 | 1.25 |
| Healthcare | 15 | 2.3 | 13 | 2.00 |
| Energy | 10 | 0.25 | 10 | 0.75 |
| Real Estate | 8 | 0.5 | 5 | 1.00 |
| Total | ? | ? | ? | ? |
| Attribution to Allocation | ? | |||
| Attribution to Selection | ? | |||
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