Performance and Risk: Interpret Performance Attribution Assume your portfolio has a total effect of 1.10%, an allocation effect of 0.80%, and an interaction effect of 0.50%. Which of the following is FALSE? Please note that I want you to select the FALSE, not TRUE, statement. Hint: Slides 34 and 36 may help you. Note that I have not given you the security selection effect in the data above, but you need to calculate it. You can figure this out from what is shown on slide 36, but to help you, I will note here that the total effect - allocation effect + selection effect + interaction effect. The portfolio managers, on average, are good at identifying sectors where they are good and bad stock pickers and over and underweight them to the benchmark accordingly The portfolio managers, on average, are good at picking stocks within sectors that outperform their respective sectors O The portfolio outperformed its benchmark The portfolio managers, on average, are good at over and underweighting sectors that out-and under perform the benchmark, respectively