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Performance & Risk: Attribution Analysis Which of the following is TRUE? Assume the following for a portfolio: . Total effect is 1.0% Interaction effect is -0.5% Allocation (sector allocation) effect is 1.0% Selection effect is 0.5% . O On average, the portfolio manager picked stocks that had HIGHER returns than the returns of their respective sectors On average, the portfolio manager invested extra (above the weight in the benchmark) in sectors where there was GOOD stock picking (the stocks in the sectors beat the returns of their respective sectors) and vice versa On average, the portfolio manager allocated extra weight to sectors that had WORSE returns than the benchmark, and vice versa The portfolio had WORSE return than the benchmark The total effect EQUALS allocation effect PLUS selection effect MINUS interaction effect