Question: Fund Weight (%) Benchmark Weight (%) Fund Return (%) Benchmark Return (%) Total 100 100 1.10 0.12 Value PM 78 75 1.21 0.31 Small-cap value

Fund Weight (%)

Benchmark Weight (%)

Fund Return (%)

Benchmark Return (%)

Total

100

100

1.10

0.12

Value PM

78

75

1.21

0.31

Small-cap value equities

29

25

2.39

1.52

Large-cap value equities

49

50

0.51

-0.28

Blended PM

22

25

0.71

-0.47

Domestic equities

12

15

0.15

-1.08

International equities

10

10

1.40

0.45

6. Using the data from the table above for micro evaluation, the allocation effect for the small-cap equities for the Value PM is closest to A. 0.006 B. 0.027 C. 0.056 D. 0.711 7. Using the data from the table above for micro evaluation, the interaction effect for the Blended PM for domestic equities is closest to A. -0.037 B. 0.014 C. 0.274 D. 0.295 8. Using the data from the table above for micro evaluation, the allocation effect was the highest for which segment? A. Small-cap equities B. Large-cap equities C. Domestic equities D. International equities 9. Using the data from the table above, which of the following statements is most accurate? A. Portfolio outperformance was largely determined by selection and interaction effects of the Value PM B. The Blended PMs outperformance was driven largely by allocation effects to domestic equities C. The Value PM did a poorer job at allocation in Small-cap equities than in Large-cap equities D. Allocation effects added more to portfolio outperformance than did selection plus interaction effects 10. Micro attribution A. could be extended to industry sector and security-level returns for these managers B. should stop at the levels provided in the table above since further attribution would likely be inexact at best C. as presented in the table helps the fund manager determine how the individual portfolio managers are performing and whether that performance was due to luck or skill

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