Explanation:
To calculate the added value for the Sethi Investment Portfolio by the portfolio manager and determine the portfolio's return for the period, you can use the information provided from the attribution analysis performed by Johny Nara:
Attribution Analysis Details:
Calculation Steps:
Sum the Attribution Effects. Add together the sector effect, within-sector selection, and allocation/selection interaction to determine the total active return attributed to the portfolio manager’s decisions: Total Active Return = 0.322% − 0.157% + 0.061% = 0.226%
Calculate the Portfolio Return. Add the total active return to the benchmark return to find the overall portfolio return: Portfolio Return = Benchmark Return + Total Active Return = 8.441% + 0.226% = 8.667%
Ultimate access to all questions.
Q.3185 Johny Nara is a research analyst at a large investment bank in the US. During an advisory relationship with his client, he performed an attribution analysis for the Sethi Investment Portfolio. He determined that the sector effect was 0.322%, the within-sector selection was -0.157%, and the allocation/selection effect was 0.061%. If the benchmark return was 8.441%, how much did the portfolio manager add value for Sethi, and what was the portfolio's return during the period?
A
0.226%, 8.667%
B
0.418%, 8.859%
C
0.226%, 8.215%
D
0.324%, 7.534%
No comments yet.