b. Using attribution analysis, calculate (1) the selection effect, and (2) the allocation effect for both Manager A and Manager B. Using these numbers in conjunction with your results from Part a, comment on whether these managers have added value through their selection skills, their allocation skills, or both. Do not round intermediate calculations. Round your answers to two decimal places. If the answer is zero, enter "0". Selection effect Allocation effect Manager A % Manager B % Manager A has added value through his/her -Select- skills. Manager B has added value through his/her Select- skills.
b. Using attribution analysis, calculate (1) the selection effect, and (2) the allocation effect for both Manager A and Manager B. Using these numbers in conjunction with your results from Part a, comment on whether these managers have added value through their selection skills, their allocation skills, or both. Do not round intermediate calculations. Round your answers to two decimal places. If the answer is zero, enter "0". Selection effect Allocation effect Manager A % Manager B % Manager A has added value through his/her -Select- skills. Manager B has added value through his/her Select- skills.
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 21P
Related questions
Question
![b. Using attribution analysis, calculate (1) the selection effect, and (2) the allocation effect for both Manager A and Manager B. Using these numbers in conjunction with
your results from Part a, comment on whether these managers have added value through their selection skills, their allocation skills, or both. Do not round intermediate
calculations. Round your answers to two decimal places. If the answer is zero, enter "0".
Selection effect Allocation effect
Manager A
%
Manager B
%
%
Manager A has added value through his/her -Select-
V skills.
Manager B has added value through his/her -Select-
v skills.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fd275a8f4-8d49-4d76-b1b1-de79bf85914b%2Fedbe2906-b286-46ef-921c-dc7be1265179%2F86eazrf_processed.png&w=3840&q=75)
Transcribed Image Text:b. Using attribution analysis, calculate (1) the selection effect, and (2) the allocation effect for both Manager A and Manager B. Using these numbers in conjunction with
your results from Part a, comment on whether these managers have added value through their selection skills, their allocation skills, or both. Do not round intermediate
calculations. Round your answers to two decimal places. If the answer is zero, enter "0".
Selection effect Allocation effect
Manager A
%
Manager B
%
%
Manager A has added value through his/her -Select-
V skills.
Manager B has added value through his/her -Select-
v skills.
![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
0.7
-4.8%
0.7
-3.9%
0.3
-4.8%
Bonds
0.2
-3.1
0.1
-2.2
0.4
-3.1
Cash
0.1
0.3
0.2
0.3
0.3
0.3](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fd275a8f4-8d49-4d76-b1b1-de79bf85914b%2Fedbe2906-b286-46ef-921c-dc7be1265179%2F869xnk7_processed.png&w=3840&q=75)
Transcribed Image Text: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
0.7
-4.8%
0.7
-3.9%
0.3
-4.8%
Bonds
0.2
-3.1
0.1
-2.2
0.4
-3.1
Cash
0.1
0.3
0.2
0.3
0.3
0.3
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