The following information relates to the performance of a manager in 2020.Benchmark weightReturn on the benchmarkActual returnActual Weight7.28%EquityBondsCash0.60.56.00%3.20%0.90%0.20.20.30.23.60%0.90%Details of investments in different sectors of the equity market are as follows:Beginning of month weights S&P 500 Sector returnSectorBasic materialBusiness servicesCapital goodsConsumer cyclicalConsumer non-cyclical| Credit sensitive1.966.306.95.807.107.01.918.804.18.4712.508.840.3719.4010.024.0120.805.013.20EnergyTechnology13.532.63.9511.900.6 Using the above data, answer the following questions:a. Has the manager over-performed or under-performed?b. What was the contribution of security selection to relative performance?c. What was the contribution of asset allocation to relative performance?d. What was the contribution from sector allocation to security selection?e. Confirm that the sum of contribution of security selection, sector selection and asset allocation isequal manager's total excess return in relation to the bogey.

Hi, since you have posted a question with multiple sub-parts, we will answer the first three, as per…

Using the above data, answer the following questions: a. Has the manager over-performed or under-performed? b. What was the contribution of security selection to relative performance? c. What was the contribution of asset allocation to relative performance? d. What was the contribution from sector allocation to security selection? e. Confirm that the sum of contribution of security selection, sector selection and asset allocation is equal manager's total excess return in relation to the bogey.

Using the above data, answer the following questions: a. Has the manager over-performed or under-performed? b. What was the contribution of security selection to relative performance? c. What was the contribution of asset allocation to relative performance? d. What was the contribution from sector allocation to security selection? e. Confirm that the sum of contribution of security selection, sector selection and asset allocation is equal manager's total excess return in relation to the bogey.

Survey of Accounting (Accounting I)

8th Edition

ISBN:9781305961883

Author:Carl Warren

Publisher:Carl Warren

Chapter15: Capital Investment Analysis

Section: Chapter Questions

Problem 15.5.2MBA: Financial leverage Costco Wholesale Corporation (COST) and Wel-Mart Stroes Inc. (WMT)reported the...

See similar textbooks

Similar questions

Ratio Analysis Consider the following information taken from the stockholders equity section: How do you interpret the companys payout and profitability performance? Required: 1. Calculate the following for 2020. (Note. Round answers to two decimal places.) 2. CONCEPTUAL CONNECTION Assume 2019 ratios were: and the current year industry averages are: How do you interpret the companys payout and profitability performance?
Selected information for Berry Company is as follows: Berrys return on equity rounded to the nearest percentage point is: a. 20%. c. 28%. b. 21%. d. 40%.
Financial leverage Costco Wholesale Corporation (COST) and Wel-Mart Stroes Inc. (WMT)reported the following data (in milllions) for a recent year: Compute the return on stockholders equity. Round to one decimal place.
Financial leverage MicrosoCortrepotied (MSFT) reported the following data (in millions) for a tern year Compute the profit margin, asset turnover, and financial leverage metrics using the expandedDuPont formula. Round profit margin, asset turnover, and financial leverage to two decimalplaces.Round return on stockholders’ equity to one decimal place.
The Jimenez Corporation’s forecasted 2020 financial statements follow, along with some industry average ratios. Calculate Jimenez’s 2020 forecasted ratios, compare them with the industry average data, and comment briefly on Jimenez’s projected strengths and weaknesses. Jimenez Corporation: Forecasted Balance Sheet as of December 31, 2020 Jimenez Corporation: Forecasted Income Statement for 2020 Jimenez Corporation: Per Share Data for 2020 Notes: aIndustry average ratios have been stable for the past 4 years. bBased on year-end balance sheet figures. cCalculation is based on a 365-day year.
Using the Value Line Investment Survey report in Exhibit 11.5, find the following information for Apple. What was the amount of revenues (i.e., sales) generated by the company in 2017? What were the latest annual dividends per share and dividend yield? What is the earnings per share (EPS) projection for 2019? How many shares of common stock were outstanding? What were the book value per share and EPS in 2017? How much long-term debt did the company have in the third quarter of 2018?
The _________ is the internal rate of return a firm must earn on its investment in order to maintain the market value of its stock. a. gross profit margin b. IRR c. Cost of Capital d. net profit margin A snapshot from Violet Flowers Ltd.'s financial information reveals the following for years 2018 and 2019: Item 2018 2019 Long Term Debt $4,600,000 $4,900,000 Interest expense $600,500 $870,000 Dividends $400,000 $590,000 Common Stock $1,740,000 $1,815,000 Additional paid-in surplus $4,200,000 $4,500,000 Violet Flowers' FCF for 2019 was: a. $300,000 b. $515,000 c. $785,000 d. $270,000
Consider the annual returns produced by two different active equity portfolio managers (A and B) as well as those to the stock index with which they are both compared: Period Manager A manager B index 1 13.0 13.5 11.1 2 -2.8 -4.0 -2.0 3 14.0 13.0 18.5 4 0.5 2.4 -0.7 5 -7.8 -6.2 -3.5 6 23.4 25.5 21.5 7 -11.6 -12.0 -14.0 8 5.0 5.5 5.6 9 2.7 4.1 2.5 10 19.1 18.2 19.2 Did either manager outperform the index, based on the average annual return differential that he or she produced relative to the benchmark? Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers to two decimal places. Manager A: % Manager B: % Calculate the tracking error for each manager relative to the index. Which manager did a better job of limiting his or her client's unsystematic risk exposure? Do not round intermediate calculations. Round your answers to two decimal places. Manager A: % Manager B: %
c. Using DuPont framework, compute Bersatu Berhad’s returns on equity for 2020 and 2021? Show all formulas and calculations.d. Is there any significant change in the returns on equity over the two years? What conclusion can you arrive with regards to thefactors influencing the returns on equity
Consider the annual returns produced by two different active equity portfolio managers (A and B) as well as those to the stock index with which they are both compared: Period Manager A Manager B Index 1 12.7 % 13.5 % 11.6 % 2 -1.6 -4.5 -2.3 3 14.9 13.2 18.9 4 0.5 2.2 -0.6 5 -7.6 -6.7 -3.5 6 24.8 24.3 21.6 7 -10.7 -12.2 -13.2 8 5.2 5.5 5.1 9 2.6 4.3 2.6 10 19.1 18.3 19.3 Did either manager outperform the index, based on the average annual return differential that he or she produced relative to the benchmark? Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers to two decimal places. Manager A: % Manager B: % 's average return is less than the index and 's average exceeded that of the index. Calculate the tracking error for each manager relative to the index. Which manager did a better job of limiting his or her client's unsystematic…
A portfolio manager has positions that include a £100,000 investment in A Corp and a £75,000 investment is B Corp. The position in A Corp has standard deviation of gains and losses of 35% per annum whilst the position in B Corp has standard deviation of gains and losses of 22% per annum. Gains and losses for both A Corp and B Corp are normally distributed while the returns A Corp and B Corp have correlation -0.6 (minus 0.6). When necessary, assume 252 trading days in the calendar year. Based on the above and the table in the Appendix: Calculate the 1-month 99% VaR and ES of the portfolio Calculate the 1-month 99% marginal VaR of each position. Interpret your answer Can the portfolio manager increase the position of A Corp to reduce their market risk exposure? Justify your answer
A portfolio manager has positions that include a £100,000 investment in A Corp and a £75,000 investment is B Corp. The position in A Corp has standard deviation of gains and losses of 35% per annum whilst the position in B Corp has standard deviation of gains and losses of 22% per annum. Gains and losses for both A Corp and B Corp are normally distributed while the returns A Corp and B Corp have correlation -0.6 (minus 0.6). When necessary, assume 252 trading days in the calendar year. Based on the above and the table in the Appendix: 1. What is the component VaR of each position? 2. What would be the advantages and disadvantages of using Expected Shortfall rather than Value at Risk to measure the risk of this portfolio