Calculate the overall return to the benchmark portfolio

Assignment Help Portfolio Management

Reference no: EM13923303

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	0.6	-5.0%	0.5	-4.0%	0.3	-5.0%
Bonds	0.3	-3.5	0.2	-2.5	0.4	-3.5
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'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.

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 se- lection skills, their allocation skills, or both.

Reference no: EM13923303

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