Title Level III V5 LM03 Essay Quiz.pdf ✅

Level III Portfolio Performance Evaluation Essay Quiz Copyright © IFT. All rights reserved www.ift.world Page 2 B. Evaluate whether Manager A has exhibited skill relative to Manager B and the Benchmark based on: i. total risk ii. systematic risk iii. downside risk iv. non-systematic risk. Justify your response.
Level III Portfolio Performance Evaluation Essay Quiz Copyright © IFT. All rights reserved www.ift.world Page 3 ZiWam also published a review of one of their managers, Alex Thirsby’s one-month performance. The following Exhibit 2 shows the results, partitioning the manager’s value-added into his sector selection and security selection skills. The return on the portfolio for the selected one-month period was 1.53%, and the benchmark return for the same month was 1.16%. Exhibit 2 Results of Alex Thirsby’s one-month performance Economic Portfolio Sector Portfolio Sector Sectors Weight Benchmark Return Benchmark (%) Weight (%) (%) Return (%) Basic Materials 10 12 -0.79 -0.67 Capital Goods 20 23 -3.60 -3.95 Consumer Durables 4 3 0.46 -0.21 Consumer 34 37 3.92 3.97 Nondurables Energy 5 4 1.25 1.02 Financial 26 21 3.92 3.05 Cash & Equivalent 1 0 0.14 Buy/hold + cash 100 100 1.64 1.16 Trading and other -0.11 Total portfolio 1.53 1.16
Level III Portfolio Performance Evaluation Essay Quiz Copyright © IFT. All rights reserved www.ift.world Page 4 C. Calculate each of the following components of return using the Brinson–Fachler approach for Thirsby’s portfolio: i. The Sector Allocation Return for Consumer Nondurables ii. The Security Selection Return for Capital Goods iii. The Interaction Return for Energy