Reading 43: Evaluating Portfolio Performance－LOS k,(Part color, target, blank

tycoon

[CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 16: Performance Evaluation and Attribution
Reading 43: Evaluating Portfolio Performance
LOS k, (Part 1): Distinguish between macro and micro performance attribution.

[此贴子已经被作者于2008-9-17 17:19:35编辑过]

tycoon

Which of the following is the least likely to be an input into micro performance evaluation?

A) The weight of a sector in the benchmark.

B) The return on the risk-free asset.

C) The return of a sector in the benchmark.

D) The sector return for the manager.

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 Answer and Explanation

The return on the risk-free asset is not an input into micro performance evaluation but it would be used as an input into macro performance evaluation.

tycoon

Frank Busby is on the board for a pension fund and would like to evaluate the funds performance and determine its sources of return. Which of the following is Busby most likely to utilize?

A) Micro performance evaluation.

B) Macro performance evaluation.

C) Performance decomposition analysis.

D) Alpha and beta separation analysis.

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Answer and Explanation

Macro performance evaluation is performed at the fund sponsor level. It decomposes fund performance into that from net contributions, the risk-free asset, asset categories, benchmarks, investment managers, and allocation effects.