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Consider the following return components from a return attribution: portfolio return 12%, selectivity ?%, risk-free rate 3%, lack of diversification 2%, systematic risk 5%, target-risk
Consider the following return components from a return attribution: portfolio return 12%, selectivity ?%, risk-free rate 3%, lack of diversification 2%, systematic risk 5%, target-risk 6%, net selectivity ?%, managers choice of risk -1%. What was the return due to net selectivity?
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