Question
a) Perform an attribution analysis for the portfolio versus the benchmark given the following data. Calculate allocation effect, selection effect, and interaction effect. b) Assume
a) Perform an attribution analysis for the portfolio versus the benchmark given the following data. Calculate allocation effect, selection effect, and interaction effect.
b) Assume that the portfolios allocation to retail was not discretionary. What are the implications of this for you as a portfolio manager?
| BM | Portfolio | |||
| Allocations | ||||
| Industrial | 0.5 | 0.7 | ||
| Apartment | 0.3 | 0.3 | ||
| Retail | 0.2 | 0.0 | ||
| Returns | ||||
| Industrial | 0.06 | 0.08 | ||
| Apartment | 0.10 | 0.12 | ||
| Retail | 0.13 | 0.00 | ||
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Intermediate Accounting
Authors: Donald E. Kieso, Jerry J. Weygandt, Terry D. Warfield
18th Edition
1119790972, 9781119790976
