Consider the following information regarding the performance of a money manager in a recent month. The table represents 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 indices in column 4. Actual Return Actual Weight Benchmark Weight Index Return Equity 2.5% 0.6 0.6 3% (S&P 500) Bonds 1.5 0.1 0.1 1.7 (Barclay’s Aggregate) Cash 0.5 0.3 0.3 0.5 What was the contribution of asset allocation to relative performance?
Consider the following information regarding the performance of a money manager in a recent month. The table represents 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 indices in column 4. Actual Return Actual Weight Benchmark Weight Index Return Equity 2.5% 0.6 0.6 3% (S&P 500) Bonds 1.5 0.1 0.1 1.7 (Barclay’s Aggregate) Cash 0.5 0.3 0.3 0.5 What was the contribution of asset allocation to relative performance?
Essentials of Business Analytics (MindTap Course List)
2nd Edition
ISBN:9781305627734
Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Chapter15: Decision Analysis
Section: Chapter Questions
Problem 4P: Investment advisors estimated the stock market returns for four market segments: computers,...
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Consider the following information regarding the performance of a money manager in a recent month. The table represents 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 indices in column 4.
| Actual Return | Actual Weight | Benchmark Weight | Index Return | |
|---|---|---|---|---|
| Equity | 2.5% | 0.6 | 0.6 | 3% (S&P 500) |
| Bonds | 1.5 | 0.1 | 0.1 | 1.7 (Barclay’s Aggregate) |
| Cash | 0.5 | 0.3 | 0.3 | 0.5 |
What was the contribution of asset allocation to relative performance? (Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.)
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