Question
The table below documents the asset allocation and returns for the bogey portfolio and a managed fund. Calculate the excess returns generated by the managed
The table below documents the asset allocation and returns for the bogey portfolio and a managed fund. Calculate the excess returns generated by the managed fund. Calculate the attribution of portfolio returns between asset allocation and security selection.
|
| Bogey Weights | Market Return | Portfolio Weights | Portfolio Returns |
| Equity | 65% | 6.42% | 75% | 7.12% |
| Fixed Income | 25% | 3.32% | 20% | 3.24% |
| Cash | 10% | 2.12% | 5% | 2.12% |
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Matlab An Introduction with Applications
Authors: Amos Gilat
5th edition
1118629868, 978-1118801802, 1118801806, 978-1118629864
