Consider the following performance data for two portfolio managers (A and B) and

Question

Consider the following performance data for two portfolio managers (A and B) and a<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" />

common benchmark portfolio:

BENCHMARK MANAGER A MANAGER B

Weight Return Weight Return Weight Return

Stock 0.6 %u22125.0% 0.5 %u22124.0% 0.3 %u22125.0%

Bonds 0.3 %u22123.5 0.2 %u22122.5 0.4 %u22123.5

Cash 0.1 0.3 0.3 0.3 0.3 0.3

a. Calculate (1) the overall return to the benchmark portfolio, (2) the overall return to

Manager A%u2019s actual portfolio, and (3) the overall return to Manager B%u2019s actual portfolio.

Briefly comment on whether these managers have under- or outperformed the

benchmark fund.

b. Using attribution analysis, calculate (1) the selection effect for Manager A, and (3) the

allocation effect for Manager B. Using these numbers in conjunction with your results

from Part a, comment on whether these managers have added value through their selection

skills, their allocation skills, or both.

Explanation / Answer

I did not get the question clearly...

but yet I gave the try...

I think you will have to

consider the wiegted value and multiply with the overall amount and the take the total ...

i beleve ...this helps!

thanks!

:)

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