Question
As part of an attribution analysis Same Same, CFA, has accumulated the following partial data for his portfolio. Sectors Portfolio sector weight Benchmark sector weight
As part of an attribution analysis Same Same, CFA, has accumulated the following partial data for his portfolio.
Sectors | Portfolio sector weight | Benchmark sector weight | Portfolio Return | Benchmark Return |
Agricultural | 12.55 | 6.45 | -0.82 | -1.35 |
Capital goods | 6.52 | 8.99 | -3.28 | 4.34 |
Consumer durables | 30.22 | 25.36 | 1.96 | 1.98 |
Energy | 11.24 | 40.65 | 0.44 | 0.24 |
Total portfolio | 1.34 | 0.56 |
For payment of performance bonus, Same prefers to use 10% return as a performance evaluation benchmark.
i) Using the available data, calculate and explain the pure sector allocation value added by the Capital goods sector allocation.
ii) Using the available data, calculate and explain the within-sector allocation value added by the Consumer durables.
iii) Using the available data, calculate and explain by the allocation /selection interaction value added by the Energy sector.
iv) Evaluate the validity of the benchmark that Same utilizes in assessing his performance.
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