A portfolio performance measurement technique that decomposes the return of a manager's holdings to a predetermined benchmark's returns and separates the difference into an allocation and selection is called
A) Immunization analysis.
B) Performance attribution analysis.
C) Tactical rankings.
D) Convexity utilization.
E) Duration matching attrition.

Question

Quizplus · Accepted Answer

This technique is known as performance attribution analysis, which breaks down the return of a portfolio into two parts: allocation and selection. Allocation measures how well the manager allocated assets among broad investment categories, while selection measures how well the manager selected individual securities within each category. Immunization analysis, tactical rankings, convexity utilization, and duration matching attrition are all unrelated portfolio measurement techniques.

A Portfolio Performance Measurement Technique That Decomposes the Return of a Manager's