We want to evaluate the performance of a managed portfolio (M) against a benchmark portfolio (B)....
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We want to evaluate the performance of a managed portfolio (M) against a benchmark portfolio (B). Below is the required information. Asset Class Equity Bonds Cash Equity Sectors Capital Goods Energy Benchmark Portfolio Weight 0.50 0.40 0.10 Return (%) 10.8 5.4 4.0 Benchmark Portfolio Weight 0.60 0.40 Return (%) 10.0 12.0 Managed Portfolio Weight 0.60 0.35 0.05 Return (%) 12.0 6.2 4.0 Managed Portfolio Weight 0.50 0.50 Return (%) 14.0 10.0 Benchmark Portfolio Managed Portfolio Bond Sectors Weight Return (%) Weight Return (%) T-Bonds 0.40 4.5 0.20 5.0 Corp. Bonds 0.60 6.0 0.80 6.5 a) What is Portfolio M's overall excess return over Portfolio B? b) How much of the excess return in part (a) is due to: i) "asset class" selection? We want to evaluate the performance of a managed portfolio (M) against a benchmark portfolio (B). Below is the required information. Asset Class Equity Bonds Cash Equity Sectors Capital Goods Energy Benchmark Portfolio Weight 0.50 0.40 0.10 Return (%) 10.8 5.4 4.0 Benchmark Portfolio Weight 0.60 0.40 Return (%) 10.0 12.0 Managed Portfolio Weight 0.60 0.35 0.05 Return (%) 12.0 6.2 4.0 Managed Portfolio Weight 0.50 0.50 Return (%) 14.0 10.0 Benchmark Portfolio Managed Portfolio Bond Sectors Weight Return (%) Weight Return (%) T-Bonds 0.40 4.5 0.20 5.0 Corp. Bonds 0.60 6.0 0.80 6.5 a) What is Portfolio M's overall excess return over Portfolio B? b) How much of the excess return in part (a) is due to: i) "asset class" selection?
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Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
Posted Date:
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