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.

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.

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