Performance Attribution Flashcards
(14 cards)
Consider the performance data for Portfolio A and the benchmark portfolio:
Benchmark Portfolio Manager A Portfolio
Component Weight Returns Weight Returns
Equity 0.50 6.85% 0.80 8.18%
Bonds 0.45 2.25% 0.11 1.89%
Cash 0.05 0.20% 0.09 0.20%
Calculate the contribution of asset allocation to the overall excess performance of Portfolio A. a) 3.55% b) 2.32% c) 1.30% d) 1.12% e) 0.18%
(Answer: 1.30%)
Consider the performance data for Portfolio A and the benchmark portfolio:
Benchmark Portfolio Manager A Portfolio
Component Weight Returns Weight Returns
Equity 0.50 6.85% 0.80 8.18%
Bonds 0.45 2.25% 0.11 1.89%
Cash 0.05 0.20% 0.09 0.20%
Calculate the contribution of security selection to the overall excess performance of Portfolio A. a) 3.55% b) 2.32% c) 1.23% d) 1.02% e) 0.21%
(Answer: 1.02%)
Consider the performance data for Portfolio B and the benchmark portfolio:
Benchmark Portfolio Manager B Portfolio
Component Weight Returns Weight Returns
Equity 0.53 4.50% 0.70 6.25%
Bonds 0.38 1.83% 0.28 2.75%
Cash 0.09 0.25% 0.02 0.25%
Calculate the contribution of asset allocation to the overall excess performance of Portfolio B. a) 4.10% b) 2.05% c) 1.30% d) 0.56% e) 0.84%
(Answer: 0.56%)
Consider the performance data for Portfolio B and the benchmark portfolio:
Benchmark Portfolio Manager B Portfolio
Component Weight Returns Weight Returns
Equity 0.53 4.50% 0.70 6.25%
Bonds 0.38 1.83% 0.28 2.75%
Cash 0.09 0.25% 0.02 0.25%
Calculate the contribution of security selection to the overall excess performance of Portfolio B. a) 2.05% b) 4.10% c) 1.48% d) 0.00% e) 0.44%
(Answer: 1.48%)
Consider the performance data for Portfolio C and the benchmark portfolio:
Benchmark Portfolio Manager C Portfolio
Component Weight Returns Weight Returns
Equity 0.25 6.50% 0.45 8.14%
Bonds 0.60 2.74% 0.50 1.95%
Cash 0.15 0.40% 0.05 0.40%
Calculate the contribution of asset allocation to the overall excess performance of Portfolio C. a) 0.99% b) 0.73% c) 1.33% d) 0.00% e) 0.18%
.99%
Consider the performance data for Portfolio C and the benchmark portfolio:
Benchmark Portfolio Manager C Portfolio
Component Weight Returns Weight Returns
Equity 0.25 6.50% 0.45 8.14%
Bonds 0.60 2.74% 0.50 1.95%
Cash 0.15 0.40% 0.05 0.40%
Calculate the contribution of security selection to the overall excess performance of Portfolio C. a) 0.73% b) 0.89% c) 0.00% d) 1.33% e) 0.34%
.34%
Consider the performance data for Portfolio D and the benchmark portfolio:
Benchmark Portfolio Manager D Portfolio
Component Weight Returns Weight Returns
Equity 0.10 6.50% -0.20 2.30%
Bonds 0.60 2.25% 0.80 4.50%
Cash 0.30 0.40% 0.40 0.40%
Calculate the contribution of asset allocation to the overall excess performance of Portfolio D. a) -2.15% b) -1.46% c) 0.00% d) 1.35% e) 1.66%
-1.46%
Consider the performance data for Portfolio D and the benchmark portfolio:
Benchmark Portfolio Manager D Portfolio
Component Weight Returns Weight Returns
Equity 0.10 6.50% -0.20 2.30%
Bonds 0.60 2.25% 0.80 4.50%
Cash 0.30 0.40% 0.40 0.40%
Calculate the contribution of security selection to the overall excess performance of Portfolio D. a) 2.64% b) -0.87% c) 0.00% d) 2.98% e) 1.84%
2.64%
Consider the performance data for Portfolio A and the benchmark portfolio: Benchmark Portfolio Manager A Portfolio
Component Weight Returns Weight Returns
Equity 0.50 6.85% 0.80 8.18%
Bonds 0.45 2.25% 0.11 1.89%
Cash 0.05 0.20% 0.09 0.20%
Using attribution analysis, calculate the contribution of asset allocation to the overall excess performance of Portfolio A.
(Answer: 1.30%)
Consider the performance data for Portfolio A and the benchmark portfolio: Benchmark Portfolio Manager A Portfolio
Component Weight Returns Weight Returns
Equity 0.50 6.85% 0.80 8.18%
Bonds 0.45 2.25% 0.11 1.89%
Cash 0.05 0.20% 0.09 0.20%
Using attribution analysis, calculate the contribution of sector and security selection to the overall excess performance of Portfolio A
Using attribution analysis, calculate the contribution of sector and security selection to the overall excess performance of Portfolio A.
1.02%
Consider the performance data for Portfolio A and the benchmark portfolio: Benchmark Portfolio Manager A Portfolio
Component Weight Returns Weight Returns
Equity 0.50 6.85% 0.80 8.18%
Bonds 0.45 2.25% 0.11 1.89%
Cash 0.05 0.20% 0.09 0.20%
What is the excess performance of Portfolio A relative to the benchmark portfolio?
(Answer: 2.32%)
Consider the performance data for Portfolio B and the benchmark portfolio: Benchmark Portfolio Manager B Portfolio
Component Weight Returns Weight Returns
Equity 0.53 4.50% 0.70 6.25%
Bonds 0.38 1.83% 0.28 2.75%
Cash 0.09 0.25% 0.02 0.25%
Using attribution analysis, calculate the contribution of asset allocation to the overall excess performance of Portfolio B.
.56%
Consider the performance data for Portfolio B and the benchmark portfolio: Benchmark Portfolio Manager B Portfolio
Component Weight Returns Weight Returns
Equity 0.53 4.50% 0.70 6.25%
Bonds 0.38 1.83% 0.28 2.75%
Cash 0.09 0.25% 0.02 0.25%
Using attribution analysis, calculate the contribution of sector allocation and security selection to the overall excess performance of Portfolio B.
(Answer: 1.48%)
Consider the performance data for Portfolio B and the benchmark portfolio: Benchmark Portfolio Manager B Portfolio
Component Weight Returns Weight Returns
Equity 0.53 4.50% 0.70 6.25%
Bonds 0.38 1.83% 0.28 2.75%
Cash 0.09 0.25% 0.02 0.25%
What is the excess performance of Portfolio B relative to the benchmark portfolio?
(Answer: 2.05%)
