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

The technique described is known as performance attribution analysis, which breaks down a portfolio's returns into the effects of the manager's allocation decisions and their security selection decisions relative to a benchmark. Choice A, immunization analysis, refers to techniques to manage interest rate risk in fixed income portfolios. Choices C, D, and E are not relevant to the described portfolio performance measurement technique.

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