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LOS k, (Part 2): Discuss the inputs that are typically required for each. ffice ffice" />
Q1. Which of the following would be least appropriate in macro performance evaluation?
A) A benchmark return is calculated as a weighted average of the individual managers' benchmark returns.
B) Market indices would be used for manager styles.
C) External cash flows would be used to determine the impact of the sponsor’s decision making.
Correct answer is B)
Broad market indices would be used for asset categories. Narrow indices would be used for manager’s investment styles.
Q2. Which of the following is least likely to be utilized in macro performance evaluation?
A) Beginning of period fund valuations.
B) Pure sector allocation effects.
C) External cash flows into the fund.
Correct answer is B)
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.
Q3. Which of the following is NOT required for macro performance attribution?
A) Benchmark portfolio returns.
B) Tactical asset allocations.
C) Fund returns, valuations, and external cash flows.
Correct answer is B)
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.
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发表于 2009-4-10 13:57
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