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LOS k, (Part 1): Distinguish between macro and micro performance attribution.
Q1. Bud Seilman is the portfolio manager of a well-diversified equity portfolio. The following information is available about the portfolio for the latest year.
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|
Weight |
Return |
|
Asset Class |
Fund |
Benchmark |
Fund |
Benchmark |
|
Large-cap |
0.50 |
0.35 |
14% |
15% |
|
Mid-cap |
0.30 |
0.40 |
19% |
12% |
|
Small-cap |
0.20 |
0.25 |
8% |
18% |
Using portfolio attribution analysis, what is the total effect of active management for Seilman’s portfolio?
A) –0.25%.
B) –0.40%.
C) 0.40%.
Q2. Frank Busby is on the board for a pension fund and would like to evaluate the fund’s performance and determine its sources of return. Which of the following is Busby most likely to utilize?
A) Micro performance evaluation.
B) Performance decomposition analysis.
C) Macro performance evaluation.
Q3. Which of the following is the least likely to be an input into micro performance evaluation?
A) The sector return for the manager.
B) The return on the risk-free asset.
C) The weight of a sector in the benchmark.
Q4. There are two basic forms of performance attribution, micro and macro attribution. Which of the following statements about the two approaches is TRUE?
Macro Performance Micro Performance
A) At investment manager level, rate-of-return metric only. At fund sponsor level, rate-of-return metric.
B) At fund sponsor level, rate-of-return and value metric. At investment manager level, rate-of-return and value metric
C) At fund sponsor level, rate-of-return metric only. At investment manager level, rate-of-return metric only.
Q5. You have performed an attribution analysis on the Gibbons Tech Fund and have concluded that the fund manager’s total value added was 0.874%. Which of the following statements correctly identifies a potential shortcoming in attribution analysis?
A) Fund allocations may have changed drastically during the period.
B) The returns are not risk adjusted.
C) The benchmark may not match the portfolio. | 
发表于 2009-4-10 13:54
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