C为什么不对？

问题如下：

Sofia Poetzl is the chief investment officer of the Germany- based Neckar Foundation. Neckar has €1 billion in assets managed by eight outside portfolio managers. Poetzl’s department is responsible for manager selection and evaluating active portfolio managers. Poetzl has one analyst in her department, Klaus Dieter, and a new intern, Helena Lange.

As part of the department’s quarterly review process, Poetzl asks Lange and Dieter to gather information for Neckar’s balanced funds.

The performance attribution in Exhibit 1 most likely shows that:

选项：

A.

Fund 1 added value through asset allocation, and Fund 2 added value through security selection.

B.

Fund 1 added value through security selection and asset allocation.

C.

Fund 2 underperformed through asset allocation.

解释：

B is correct. Value added by active portfolio management is determined by a manager’s deviation from the portfolio benchmark weights. Total value added can be decomposed into various sources that capture the contribution from different decisions, such as security selection and asset allocation. Fund 1 overweighted the better- performing equity asset class (58% versus 50%), and the equity portion outperformed the equity benchmark (14% versus 11%).

A is incorrect because although Balanced Fund 1 did add value through asset allocation, Balanced Fund 2 underperformed both the equity and bond benchmarks.

C is incorrect because although Balanced Fund 1 did add value through security selection, Balanced Fund 2 underperformed both the equity and bond benchmarks.