Compute the manager performance contribution

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A pension fund has a policy allocation for Japan of 20% and is benchmarked to the MSCI Japan index. The manager has allocated only 12% to Japan. The MSCI Japan index returned -3.2% last month and the manager's Japanese portfolio returned 0.6%.

a. Compute the manager's performance contribution due to the asset allocation decision. Is the contribution positive or negative?

b. Compute the manager's performance contribution due to the security selection decision. Is the contribution positive or negative?

Reference no: EM133058138

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