Consider the following performance data for two portfolio managers (A and B) and a common benchmark portfolio:BENCHMARKMANAGER AMANAGERBWeight ReturnWeight ReturnWeight ReturnStock0.7-4.8%0.7-3.9%0.3-4.8%Bonds0.2-3.10.1-2.20.4-3.1Cash0.10.30.20.30.30.3a. Calculate (1) the overall return to the benchmark portfolio, (2) the overall return to Manager A's actual portfolio, and (3) the overall return to Manager B's actual portfolio. Brieflycomment on whether these managers have under- or outperformed the benchmark fund. Round your answers to two decimal places. Use a minus sign to enter negative values, ifany.Overall returnBenchmarkManager A%Manager B%Manager A has -Select-v the benchmark fund.Manager B has -Select-| the benchmark fund.b. Using attribution analysis, calculate (1) the selection effect, and (2) the allocation effect for both Manager A and Manager B. Using these numbers in conjunction with your resultsfrom Part a, comment on whether these managers have added value through their selection skills, their allocation skills, or both. Do not round intermediate calculations. Roundyour answers to two decimal places. If the answer is zero, enter "0".Selection effect Allocation effectManager A%%Manager B%%Manager A has added value through his/her-Select-v skills.Manager B has added value through his/her -Select-v skills.

A portfolio is a combination of different assets such as stocks, bonds, and cash. It is prepared to…

Consider the following performance data for two portfolio managers (A and B) and a common benchmark portfolio: BENCHMARK MANAGER A MANAGER B Weight Return Weight Return Weight Return Stock 0.7 -4.8% 0.7 -3.9% 0.3 -4.8% Bonds 0.2 -3.1 0.1 -2.2 0.4 -3.1 Cash 0.1 0.3 0.2 0.3 0.3 0.3 a. Calculate (1) the overall return to the benchmark portfolio, (2) the overall return to Manager A's actual portfolio, and (3) the overall return to Manager B's actual portfolio. Briefly comment on whether these managers have under- or outperformed the benchmark fund. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Overall return Benchmark Manager A % Manager B % Manager A has -Select- ) the benchmark fund. Manager B has -Select- ) the benchmark fund. b. Using attribution analysis, calculate (1) the selection effect, and (2) the allocation effect for both Manager A and 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. Do not round intermediate calculations. Round your answers to two decimal places. If the answer is zero, enter "0". Selection effect Allocation effect Manager A % Manager B % Manager A has added value through his/her -Select- v skills. Manager B has added value through his/her -Select- v skills.

5th Edition

ISBN:9781285660516

Author:EHRHARDT

Publisher:EHRHARDT

Chapter6: Risk And Return

Section: Chapter Questions

Problem 1Q