Question Bank 4.11

Discussion in 'SP5' started by thegame2002, Apr 20, 2010.

  1. thegame2002

    thegame2002 Member

    I am trying to work out some attribution analysis questions.

    In this particular one there are 3 assets

    equities, bonds (long duration) and bonds (<5 years)

    Benchmark allocation (60, 40,0) respectively
    Actual Allocation (80,0,20)

    I have worked out the stock selection profit and the sector selection profit and the totals seem to add up to whats in the solution.

    however, the question states that i need to determine the split between

    1)equity and bonds (long duration)
    2)bonds (long duration) and bonds(<5years)

    I get the following answers

    sector profit for equities = 1.52
    sector profit for bonds (<5 years) = -1.48
    sector profit for bonds (long) = 4.56

    total = 4.6 (which is what i get and it matches to the answer)

    My questions is that how can we split this to determine the %of this allocation to 1 and 2 mentioned above?

    for sector selection i use the following formula -- (actual sector weight - benchmark sector weight)*(benchmark return on x - total benchmark return)

    This is a question from the question bank 4.11? I am analysing only quarter 1.

    The solution says
    1- 3.8
    2- 0.8

    All calculations are correct other wise I would be able to match the total stock selection and sector selection profit.

    really confused, please help.

    Thanks
     

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