G
Gareth
Member
This comes from ASSET April 2004, Q4.
The solution works out quarterly performance figures for:
a) Benchmark allocation and benchmark assets to be:
Q Return (%)
1 2.4
2 -6.695
3 2.888
4 3.063
b) Actual allocation and actual assets to be:
Q Return (%)
1 -7.083
2 -1.544
3 4.68
4 31.94
This gives difference actual - benchmark as:
Q Return (%)
1 -9.483
2 5.16
3 1.79
4 28.88
Now it states "adding together the quarterly out performances gives an overall relative out performances over the year of 26.3%".
I am suspicious of this, how can you just add up the quarterly returns? Surely it should have been doing (1 + diff1) x (1 + diff2) x ... x (1 + diffn) - 1??? (as this is basically a TWRR)
This is materially different to the stated answer (would give 24.9%).
What do you think?
The solution works out quarterly performance figures for:
a) Benchmark allocation and benchmark assets to be:
Q Return (%)
1 2.4
2 -6.695
3 2.888
4 3.063
b) Actual allocation and actual assets to be:
Q Return (%)
1 -7.083
2 -1.544
3 4.68
4 31.94
This gives difference actual - benchmark as:
Q Return (%)
1 -9.483
2 5.16
3 1.79
4 28.88
Now it states "adding together the quarterly out performances gives an overall relative out performances over the year of 26.3%".
I am suspicious of this, how can you just add up the quarterly returns? Surely it should have been doing (1 + diff1) x (1 + diff2) x ... x (1 + diffn) - 1??? (as this is basically a TWRR)
This is materially different to the stated answer (would give 24.9%).
What do you think?