The new SMIF Quantitative Equity Fund is benchmarked against the International Balanced Index. The Fund generated a
Question:
The new SMIF Quantitative Equity Fund is benchmarked against the International Balanced Index. The Fund generated a return of 10% on its international equities allocation, 5% on its allocation to domestic equities and 0.5% to cash. Within the Fund 70% of assets are allocated to international equities, 20% to domestic equities, and 10% to cash. The International Balanced Index has an allocation of 50% to international equities, 40% to domestic equities and 10% to cash, and generated returns in the most recent year of 9% to international equities, 6% to domestic equity and 0.5% to cash.
A. How has the Fund performed relative to the Index over the year? You should calculate the excess return to the Fund above or below the return to the Index.
B. Calculate the contribution of asset allocation to the performance of the Fund relative to the Index.
C. Calculate the contribution of security selection to the performance of the Fund relative to the Index.
Equity Asset Valuation
ISBN: 978-0470571439
2nd Edition
Authors: Jerald E. Pinto, Elaine Henry, Thomas R. Robinson, John D. Stowe, Abby Cohen