The manager of Quantitative International Fund uses EAFE as a benchmark.Last year's performance for the fund and the benchmark were as follows: Calculate Quantitative's currency selection return contribution.
A)+20%
B)-5%
C)+15%
D)+5%
E)-10%

Question

The manager of Quantitative International Fund uses EAFE as a benchmark.Last year's performance for the fund and the benchmark were as follows:  Calculate Quantitative's currency selection return contribution.
A)+20% 
B)-5% 
C)+15% 
D)+5% 
E)-10%

Quizplus · Accepted Answer

EAFE: (.30)(10%) + (.10)(-10%) + (.60)(30%) = 20% appreciation; Diversified: (.25)(10%) + (.25)(-10%) + (.50)(30%) = 15% appreciation; Loss of 5% relative to EAFE.

The Manager of Quantitative International Fund Uses EAFE as a Benchmark.Last