Maurice Tutor

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Teaching Since: May 2017
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Education

  • MCS,PHD
    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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  • Professor
    Phoniex University
    Oct-2001 - Nov-2016

Category > Accounting Posted 21 Aug 2017 My Price 8.00

performance of a money manager

1.   Consider the following information regarding the performance of a money manager in a recent month. The table presents the actual return of each sector of the manager’s portfolio in column (1), the fraction of the portfolio allocated to each sector in column

(2), the benchmark or neutral sector allocations in column (3), and the returns of sector indexes in column (4).

 

 

 

(1)

Actual Return

(2)

Actual Weight

(3)

Benchmark Weight

(4)

Index Return

Equity

2.0%

0.70

0.60

2.5% (S&P 500)

Bonds

1.0

0.20

0.30

1.2     (Aggregate Bond index)

Cash

0.5

0.10

0.10

0.5

 

 

a.   What was the manager’s return in the month? What was her over- or underperformance?

b.   What was the contribution of security selection to relative performance?

c.   What was the contribution of asset allocation to relative performance? Confirm that the sum of selection and allocation contributions equals her total “excess” return rela- tive to the bogey.

Answers

Maurice Tutor
(5)
Status NEW Posted 21 Aug 2017 02:08 PM My Price 8.00

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