Example 1 A high-volatility portfolio invests in three asset classes: long/short global equities, bonds and fixed income derivatives and real assets and shows for 5 consecutive days (=4 return days) the following valuations per asset class in millions of EUR): 400 Day Equities Fixed Income Real Assets 0 2,030 1,520 1 2.230 1.580 420 2 1,940 1,495 460 3 2,305 1.505 455 4 2.435 1.515 430 Note: no transactions to be considered. a) Calculate the daily portfolio returns as well as the portfolio performance for the entire period. b) Calculate the contributions of each asset class and for each day. Note: Present your final results in table form (columns: asset classes, rows: days). c) Calculate the contribution of each asset class for the entire period using a linking algorithm of your choice. d) Show that the sum of contributions (results from c) equals the portfolio performance for the entire period from (result from a). 2 Example 1 A high-volatility portfolio invests in three asset classes: long/short global equities, bonds and fixed income derivatives and real assets and shows for 5 consecutive days (=4 return days) the following valuations per asset class in millions of EUR): 400 Day Equities Fixed Income Real Assets 0 2,030 1,520 1 2.230 1.580 420 2 1,940 1,495 460 3 2,305 1.505 455 4 2.435 1.515 430 Note: no transactions to be considered. a) Calculate the daily portfolio returns as well as the portfolio performance for the entire period. b) Calculate the contributions of each asset class and for each day. Note: Present your final results in table form (columns: asset classes, rows: days). c) Calculate the contribution of each asset class for the entire period using a linking algorithm of your choice. d) Show that the sum of contributions (results from c) equals the portfolio performance for the entire period from (result from a). 2