Question
Consider the below information that describes the annual performance of a manager's entire portfolio and the benchmark portfolio. What is the contribution of asset selection
Consider the below information that describes the annual performance of a manager's entire portfolio and the benchmark portfolio.
What is the contribution of asset selection to the manager's relative performance?
| Manager Return | Manager Allocation | Benchmark Return | Benchmark Allocation | |
| Asset Class A | 7% | 0.0 | 2% | 0.2 |
| Asset Class B | 4% | ? | 2% | ? |
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Theoretical Foundations For Quantitative Finance
Authors: Luca Spadafora, Gennady P Berman
1st Edition
9813202475, 978-9813202474
