LOS c: Explain the purpose of global performance attribution and calculate the contributions to portfolio performance from market allocation, currency allocation, and security selection.
Q1. The following information is available about Spartacus Asset Management (SAM)'s global equity fund for the year ending December 31,2003.
|
Sector |
Weight |
Local |
US $ Return | |||
|
|
Portfolio |
Benchmark |
Portfolio |
Benchmark |
Portfolio |
Benchmark |
|
European Equity |
50% |
75% |
13.50% |
15.00% |
15.77% |
17.30% |
|
Japanese Equity |
50% |
25% |
12.00% |
8.00% |
15.92% |
11.78% |
|
Total |
100% |
100% |
12.75% |
13.25% |
15.85% |
15.92% |
What is the fund's currency allocation effect?
A) 2.27%.
B) 3.78%.
C) 0.43%.
Q2. What is the fund’s market allocation effect?
A) –1.75%.
B) –3.75%.
C) 2.27%.
Q3. What is the fund’s security selection effect?
A) –0.75%.
B) –1.75%.
C) 1.25%.
[此贴子已经被作者于2009-4-10 15:18:57编辑过]
谢谢
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