Consider the following performance data for two portfolio

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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 0.5 15% 0.6 20% 0.4 13%
Bonds 0.3 7% 0.2 9% 0.5 10%
Cash 0.2 3% 0.2 4% 0.1 2.5%

1. Work out the overall return of the Portfolio using;

E(Rp)=W1*E(A)+W2*E(B)+W3*E(C)

2. Using attribution analysis; calculate the selection effect and the allocation effect for Managers A and B.

Reference no: EM13478707

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