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Considering the following information regarding the performance of a portfolio manager in a recent quarter: Manager's Benchmark Benchmark Manager's Return Weight Weight Return Stocks 1%
Considering the following information regarding the performance of a portfolio manager in a recent quarter: Manager's Benchmark Benchmark Manager's Return Weight Weight Return Stocks 1% 0.50 0.30 2% Bonds 2% 0.30 0.30 1.5% Treasury bills 0.75% 0.20 0.40 0.5% (i) Identify the Alpha of the manager's portfolio (ii) identify the contributions of asset allocation and security selection to relative performance
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