Following are the exchange rates on 12/16/2014: Following were the exchange rate
ID: 2741362 • Letter: F
Question
Following are the exchange rates on 12/16/2014: Following were the exchange rates on 12/16/2013 In that particular year, Red Snapper Fund had the following investment and returns: The bogey (benchmark) portfolio had the following investments and returns: What was the total excess return for the Red Snapper Fund? How much did the asset allocation (country) contribute to this excess return? How much did security (stock) selection contribute to this excess return? How much did currency changes contribute to this excess return?Explanation / Answer
(a).Total excess return of Red Snapper Fund:-
Starting Weight
Investment in Dollars
Return %
Actual Return
Currency on 12/16/2014
Total excess return
France
0.2
0.2
-10
-0.02
0.7992
-0.015984
Britain
0.4
0.4
-7
-0.028
0.635
-0.01778
Japan
0.4
0.4
2
0.008
116.6970
0.933576
Total
1
1
-0.04
Negative excess return for the Red Snapper Fund(in Dollars)= -0.026
(b).Contribution to the excess return country wise:-
Starting Weight
Investment
Return %
Actual Return
France
0.1
0.07266
-2.78
-0.00202
Britain
0.6
0.3681
-5.21
-0.01918
Japan
0.3
30.9081
12.85
3.9717
Total
1
(c).Security(stock) selection contribution:-
Starting Weight
Currency for dollar
Return %
Actual Return
France
0.1
0.07266
-2.78
-0.00202
Britain
0.6
0.3681
-5.21
-0.01918
Japan
0.3
30.9081
12.85
3.9717
Total
1
(4).Currency exchange gain to excess return:-
On 12/16/2014
On 12/16/2013
Starting Weight
Currency for dollor
Currency for dollor
Increase/(Decrease)
Weighted exchange gain
France
0.2
0.7992
0.7266
0.0726
0.01452
Britain
0.4
0.635
0.6135
0.0215
0.0086
Japan
0.4
116.6970
103.027
13.67
5.468
Total
1
-0.026
Starting Weight
Investment in Dollars
Return %
Actual Return
Currency on 12/16/2014
Total excess return
France
0.2
0.2
-10
-0.02
0.7992
-0.015984
Britain
0.4
0.4
-7
-0.028
0.635
-0.01778
Japan
0.4
0.4
2
0.008
116.6970
0.933576
Total
1
1
-0.04
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