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Considering the following performance of an actively managed portfolio: Answer the following questions: (1) Calculate the excess return of the managed portfolio. (2) Calculate the
Considering the following performance of an actively managed portfolio:
Answer the following questions:
(1) Calculate the excess return of the managed portfolio.
(2) Calculate the attribution of excess return by asset allocation.
(3) Calculate the attribution of excess return by security selection.
\begin{tabular}{|l|l|l|l|l|} \hline \multicolumn{2}{|l|}{} & \multicolumn{2}{|l|}{ Actively managed portfolio } & \multicolumn{2}{|l|}{ Benchmark portfolio } \\ \hline Compo nent & Weight & Return & Weight & Return \\ \hline Equity & 0.50 & 8.60% & 0.60 & 5.50% \\ \hline Bonds & 0.35 & 3.30% & 0.20 & 1.70% \\ \hline Cash & 0.15 & 0.20% & 0.20 & 0.20% \\ \hline \end{tabular}Step by Step Solution
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