Example 3 A portfolio P and its benchmark portfolio B invest in equities and bonds only. Consider the following data for two consecutive months and Show that neither arithmetic contributions nor arithmetic outperformances do add up to aritlnnct ic out performance: month 1 month 2 P B P B u- r in r u' r u- r equities ' 8 3' 9 bonds ' 2 P 3 a} calculate the weights for month 2 given return and weight data for month 1. b} calculate the performance of P and B for month 1, month 2 and the 2-month period. c) calculate the relative contributions of equities and bonds for each month according to the BF model. Note: Present your final results in table form (rows: month and asset class: columns: allocation, selartion and interaction) (1} show that the. relative contributions do not add up to the 2-month arithmetic out performance