Based on Exhibit 1, the target semideviation for the portfolio is closest to: A. 2.78%. B. 3.68%.
Question:
Based on Exhibit 1, the target semideviation for the portfolio is closest to:
A. 2.78%.
B. 3.68%.
C. 4.35%.
Alexandra Jones, a senior adviser at Federalist Investors (FI), meets with Erin Bragg, a junior analyst. Bragg just completed a monthly performance evaluation for an FI fixed-income manager. Bragg’s report addresses the three primary components of performance evaluation:
measurement, attribution, and appraisal. Jones asks Bragg to describe an effective attribution process. Bragg responds as follows:
Response 1: Performance attribution draws conclusions regarding the quality of a portfolio manager’s investment decisions.
Response 2: Performance attribution should help explain how performance was achieved by breaking apart the return or risk into different explanatory components.
Bragg notes that the fixed-income portfolio manager has strong views about the effects of macroeconomic factors on credit markets and follows a top-down investment process.
Jones reviews the monthly performance attribution and asks Bragg whether any riskadjusted historical performance indicators are available. Bragg produces the following data:
Step by Step Answer: