The following information relates to the performance of a manager in 2020. Benchmark weight Equity Bonds...

 

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The following information relates to the performance of a manager in 2020. Benchmark weight Equity Bonds Cash Actual returnActual Weight 7.55% 0.4 3.50% 0.3 0.70% 0.3 Sector Basic material Details of investments in different sectors of the equity market are as follows: Business services Capital goods Consumer cyclical Consumer non-cyclical Credit sensitive Energy Technology 0.3 0.5 0.2 Return on the benchmark Using the above data, answer the following questions: a. Has the manager over-performed or under-performed? Beginning of month weights S&P 500 Sector return 1.86% 7.3% 5.9% 5.80% 6.1% 4.0% 1.91% 1.8% 3.1% 18.37% 19.5% 7.8% 30.27% 18.4% 10.0% 24.21% 21.8% 5.0% 13.63% 13.2% 2.6% 3.95% 11.9% 0.8% b. What was the contribution of security selection to relative performance? c. What was the contribution of asset allocation to relative performance? d. What was the contribution from sector allocation to security selection? e. Confirm that the sum of contribution of security selection, sector selection and asset allocation is equal manager's total excess return in relation to the bogey. 6.34% 3.20% 0.70% The following information relates to the performance of a manager in 2020. Benchmark weight Equity Bonds Cash Actual returnActual Weight 7.55% 0.4 3.50% 0.3 0.70% 0.3 Sector Basic material Details of investments in different sectors of the equity market are as follows: Business services Capital goods Consumer cyclical Consumer non-cyclical Credit sensitive Energy Technology 0.3 0.5 0.2 Return on the benchmark Using the above data, answer the following questions: a. Has the manager over-performed or under-performed? Beginning of month weights S&P 500 Sector return 1.86% 7.3% 5.9% 5.80% 6.1% 4.0% 1.91% 1.8% 3.1% 18.37% 19.5% 7.8% 30.27% 18.4% 10.0% 24.21% 21.8% 5.0% 13.63% 13.2% 2.6% 3.95% 11.9% 0.8% b. What was the contribution of security selection to relative performance? c. What was the contribution of asset allocation to relative performance? d. What was the contribution from sector allocation to security selection? e. Confirm that the sum of contribution of security selection, sector selection and asset allocation is equal manager's total excess return in relation to the bogey. 6.34% 3.20% 0.70%

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Solution a Equity Bond Cash Equity Bond Cash b Actual Return 728 C Benchmark Return Benchmark Weghts ... View the full answer