Reference no: EM132418004

Problem: Brinson-Hood-Beebower Calculations. You are conducting a return attribution analysis for a pension fund using the Brinson-Hood-Beebower framework. You received the following information from the pension fund about portfolio weights and performance for the previous year:

Stocks                           Bonds                          Cash

Policy (passive) weights:   40%                            40%                            20%

Actual weights:                   35%                            30%                            35%

Passive (index) return:       7%                              5%                              4.5%

Actual return:                     6.5%             5.1%                4.5%

How did active management affect portfolio performance in the previous year?

(a) it reduced performance by 0.145%

(b) it reduced performance by 0.160%

(c)  it reduced performance by 0.175%

(d) it reduced performance by 0.320%

(e) it improved performance by 0.145%

(f)  it improved performance by 0.160%

(g) it improved performance by 0.175%

(h) it improved performance by 0.320%

(i)  none of the above