Reading 43: Evaluating Portfol....rmance－LOS k,(Part 2) required

tycoon

Which of the following is NOT required for macro performance attribution?

A) Benchmark portfolio returns.

B) Policy allocations.

C) Fund returns, valuations, and external cash flows.

D) Tactical asset allocations.

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Answer and Explanation

There are three main inputs into the macro attribution approach:

1) policy allocations
2) benchmark portfolio returns and
3) fund returns, valuations and external cash flows.

1) policy allocations
2) benchmark portfolio returns and
3) fund returns, valuations and external cash flows.

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 2): Discuss the inputs that are typically required for each.

tycoon

Which of the following would be least appropriate in macro performance evaluation?

A) Percentage returns would be calculated at the manager level.

B) Policy allocations would be determined.

C) Market indices would be used for manager styles.

D) External cash flows would be used to determine the impact of the sponsors decision making.

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Answer and Explanation

Broad market indices would be used for asset categories. Narrow indices would be used for managers investment styles.

tycoon

Which of the following is least likely to be utilized in macro performance evaluation?

A) External cash flows into the fund.

B) Beginning of period fund valuations.

C) The return on the equity benchmark.

D) Pure sector allocation effects.

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Answer and Explanation

Pure sector allocation effects result from micro performance evaluation. The inputs to macro performance evaluation include policy allocations, benchmark portfolio returns, fund returns, fund valuations, and external cash flows.