Question
A pension fund has a policy allocation for Japan of 20% and is benchmarked to the MSCI Japan index. The manager has allocated only 12%
A pension fund has a policy allocation for Japan of 20% and is benchmarked to the MSCI Japan
index. The manager has allocated only 12% to Japan. The MSCI Japan index returned -3.2%
last month and the managers Japanese portfolio returned 0.6%.
a. Compute the managers performance contribution due to the asset allocation decision. Is
the contribution positive or negative?
b. Compute the managers performance contribution due to the security selection decision.
Is the contribution positive or negative?
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The Routledge Handbook Of FinTech
Authors: K. Thomas Liaw
1st Edition
0367263599, 978-0367263591
