Under the performance attribution analysis method, the ____ measures the manager's ability to form specific market segment portfolios that generate superior returns relative to the way in which the comparable market segment is defined in the benchmark portfolio weighted by the manager's actual market segment investment proportions.
A) selection effect
B) allocation effect
C) distribution effect
D) diversification effect
E) attribution effect

Question

Quizplus · Accepted Answer

The selection effect measures the manager's ability to pick securities within a market segment that outperform the benchmark's definition of that segment, weighted by the manager's actual investment proportions in those segments. This is distinct from the allocation effect, which measures the manager's ability to allocate assets among different market segments.

Under the Performance Attribution Analysis Method, the ____ Measures the Manager's