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Consider the following performance data for portfolio P that is managed by Peter and a You can only type in the light pink cells and
Consider the following performance data for portfolio P that is managed by Peter and a You can only type in the light pink cells and type your answers in the yellow boxes. Weights, w Returns, R Portfolio, P 3.50% common benchmark portfolio, B: Benchmark, B 0.475 Asset Class Stock (1) Bond (2) Cash (3) Portfolio, P 0.550 Benchmark, 4.00% 2.50% 0.450 0.425 3.00% Weight Return 0.100 0.000 0.50% 0.50% Asset Class Portfolio, P. Portfolio, P. Benchmark. B Benchmark, B Portfolio Return, R2 Asset Class Benchmark Return, R3 Stock (1) 0.550 0.475 4.00% Stock (1) Bond (2) 3.50% Bond (2) 0.450 0.425 3.00% 2.50% Cash (3) Cash (3) 0.50% 0.50% 0.000 0.100 a) Calculate: (1) the overall return to the benchmark portfolio and (2) the overall return to Answer a.1) : Rg = Answer a.2) : Rp = Portfolio P. Briefly comment on whether Peter has under- or outperformed the Excess Return = Rp - Rg = benchmark portfolio and by how much. (6 marks) . Comment
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