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Chapter 18 Excel Application: Performance Attribution
1. What would happen to the contribution of asset allocation to overall performance if the actual
weights had been 70/17/13 in the three markets rather than 75/12/13?
[Change cells: 15 .7; 16 .17; 17 .13]B B B= = =
The contribution from asset allocation decreases from 0.6249% to 0.4069%.
Why does performance improve?
2. Show what would happen to the contribution of security selection to performance if the actual
return on the equity portfolio had been 7.5% instead of 6.5% and the return on the S&P 500 had
been 6.81% instead of 5.81%.
Overall excess returns improve from 1.1184% to 1.12684%.
Explain your result.
