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Use the following information for parts D to E. The following table is the asset allocation of Alpine Equity Fund (Alpine) and its benchmark portfolio;
Use the following information for parts D to E. The following table is the asset allocation of Alpine Equity Fund (Alpine) and its benchmark portfolio; and return rates of different sectors last year. Alpine Weight Return 30% 10% 30% 15% Benchmark Weight-Return 25% 12% 35% 14% Large Cap Stocks Mid Cap Stocks Small Cap Stocks 40% 20% 45% 18% D. Calculate the excess return from asset allocation skill of Alpine's fund manager. (4 marks) e Page 15 of 164 E. Calculate the excess return from security selection skill of Alpine's fund manager. (4 marks)
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