投资组合管理和资产配置essay怎么写？_ESSAY_ukassignment,英国作业|留学生作业网

1. Introduction 介绍

这篇论文的目的是构建和评估一个投资组合，根据我们的客户的要求。用于股票选择的数据是5年每周返回到26一月2015从彭博社和评估处理的时间为26至一月和17，四月2015。本文从投资组合结构入手，运用相关的方法。然后，它描述了调整和评估的投资组合的性能。最后，论述了财务理论与投资组合结果的关系。The aim of this essay is to construct and evaluate a portfolio based on our client’s requirement. The data used for stock selection is 5-year weekly return to 26 January 2015 from Bloomberg and evaluation processed for period between 26 January and 17 April 2015. This essay starts with portfolio construction by using relevant methodologies. And then, it describes adjustments and evaluates the portfolio performance. Finally, it discusses the relationship between financial theories and portfolio results.

2. Portfolio Construction 投资组合管理与资产配置

2.1. Objective description 客观描述

构建的投资组合是基于100万美元的负责人。客户的主要目标是实现低风险厌恶情绪的高回报。施加在投资的限制包括只对股权投资限制，流动性的要求，很长一段时间的视野。因此，投资组合是由全球成长股形成和部分基金将在无风险资产进行投资。此外，在全球范围选择股票可以最大限度地减少客户端绑定的分散风险。为了具有可比性，投资组合的目标将是超越这是由相同的权重标准普尔全球1200指数和美国3个月期国库券构成的基准。

The constructed portfolio is based on a principal of USD 100 million. The main objective of the client is to attain a high return with low risk aversion. Constraints imposed on the investment include limitation on equity investment only, requirement of liquidity and a long time horizon. Therefore, portfolio is formed by global growth stocks and part of the fund will be invested in the risk free asset. Additionally, selecting stocks globally can minimize the diversifiable risk bound by the client. To be comparable, the portfolio will aim to outperform the benchmark which is constituted by equal weight of S&P Global 1200 index and the US 3-month Treasury Bills.

2.2. Equities selection
The methodology applied to select equities is top-down approach. Precisely, this approach requires an investigation in the global and industrial condition before choosing stocks from markets. Countries with high GDP growth normally offer more growing stocks. Therefore, two emerging markets, China and India, with relatively high GDP growth have been added into portfolio apart from the major markets included in the S&P 1200 index. At sector level, the chosen sectors generally prospect a better sales and profit growth than the others. The final stage is to point stocks from countries and sectors that have been identified. Only those stocks attained higher P/E ratio and EPS growth than its competitors will be finally accepted.

2.3. Asset allocation
The fund has been distributed at two levels, country and equity. At country level, the methodology applied is the black-Litterman model (Table 1). According to the capitalisation of the nine markets, market weights and the implied market returns can be computed. Additionally, to incorporate the growth rate of each country, the forecasted market return has been calculated by multiplying the current market return for the GDP growth multiplier. Then analysis opinions were added to those markets with significant difference between forecasted return and implied return. Lastly, the actively managed portfolio weights were calculated by solver. At stock level, the fund is allocated to each stock based on the Markowitz efficiency theory. The weight is determined by maximizing the Sharpe ratio. Finally, to satisfy with the investor’s requirement on liquidation, the 3-month US T-Bill was incorporated. Depending on Campbell and Viceira (2001), the percentage of liquid asset can be determined by maximising the utility upon a known risk aversion level. Due to the outstanding Sharpe ratio of the portfolio, the client with a relatively low risk aversion will invest over 100% in the portfolio and short sell the riskless asset. But to fit the liquidity requirement, it has been decided to invest 10% into the T-bill.

3. Performance adjustment 性能调整

The performance of the portfolio has been assessed for the period from 26 January to 12 February 2015. As the result showed, the portfolio successfully outperformed the benchmark. Specifically, the return of portfolio has more than doubled than benchmark and both Sharpe ratio and Treynor ratio of portfolio are higher (Table 2). However, several poorly performed stocks came into light during the assessment. For instance, the health care company in America called Celgene incurred a sharp drop during the evaluating period. Based on Bloomberg, the current market return in Asia decreased slightly during that time which would adjust down the investor’s opinion. In contrast, the Amerisourcebergen in USA presented a strong upward trend. The Aeon in Japan also indicated a growth potential due to its recent expansion plan to satisfy the increasing global demand (Aeon, 2015). Consequently, the weights of those stocks were adjusted manually. Specifically, Celgene was reduced by 1%; Galaxy Entertainment was reduced by 5%; Aeonn and Amerisourcebergen were increased by 1% and 5% respectively.

4. Performance evaluation and attribution绩效评价与归因

4. 1 Performance evaluation
After adjusting the weights of stocks, the new portfolio has achieved an average daily return of 0.2118% compared to 0.1920% of the unadjusted portfolio and 0.0392% of the benchmark, during our evaluation period from 26th January to 17th April 2015. Portfolio daily returns have outperformed the benchmark most of the time (see Figure1). Taking into account the currency surprise risk as we diversify our investment in 9 countries, we have received a total periodic return of 0.470%, among which 0.487% is from price change of stocks (Table 3.1-4.2). The foreign exchange factor in fact deteriorated our performance by -0.018%, which indicates if investors not constrained by investing in derivatives, we can further enhance the performance by hedging. Additionally, regarding total risk, our adjusted portfolio has generated a Sharpe ratio of 0.297 compared to 0.255 of former portfolio and 0.046 of benchmark. If only considering systematic risk, the 0.0044 Treynor ratio of our new portfolio still outperform in comparison to 0.0040 (old portfolio) and 0.0003 (benchmark). Under Jensen’s alpha evaluation, active portfolio management of the new portfolio has increased the abnormal return from 0.0015 to 0.0017 and the benchmark alpha approximates zero. The M square of 0.0018 demonstrates that we have improved the additional return on top of the market premium by 0.03%. In addition, the excess return to the benchmark over the portfolio’s diversifiable risk (i.e. the Information Ratio) has grown by 9.68% from 0.4225 to 0.5193. Lastly,diving the sum of all positive excess returns to benchmark by the absolute value of those negative ones, the omega rise from 1.758 to 1.963. Our portfolio has been improved and outperformed the benchmark in terms of all evaluation methods (detailed data see Table 5.1-5.2).

4.2 Performance attribution
The superior performance of our adjusted portfolio demonstrated above results from our active portfolio management, of which we break down to ‘Asset Allocation’, ‘stock Selection’, ‘Interaction’ effects utilising Brinson and Fachler’s (1985) techniques. With consideration to currency exposure, we now further incorporate the ‘Currency Management’ factor as proposed by Ankrim and Hensel (1994). Asset allocation procedure add value by under-weighting cash and over-weighting equities, and both of the old and adjusted portfolio has contributed a return of 0.01569% (8% of performance as asset weighing unchanged) . As we have applied heavier weights on superior stocks in better performing industries after adjustment, stock selection procedure has generated a return of 0.09092% compared to 0.08102% of the former portfolio. The value added accounts for the largest portion, 46%, of overall performance. 37% of average daily return (0.07273%) has been generated from the interaction effect from the above two procedures. For currency management, we have employed the return from foreign exchange (-0.018%) since it is almost impossible to capture all currency movements in the market and unfair to compare such broad data with our portfolio. In
total, the adjusted active management has improved the value added from 0.143% to 0.161% (all data included in Table6.1-6.2).

5. Relation between results and financial theories 结果和金融理论的关系

According to the performance attribution, our portfolio have outperformed the benchmark resulting from superior asset allocation and stock selection and currency management. We will discuss these procedures with corresponding financial theories.

5.1 Theories on stocks selection
Our portfolio is based on the active management style, which relies on the premise that mispricing exist at any point in time. That is to say, the market is assumed to be weak-form or semi-strong form efficiency (Ball,1995). Therefore, our portfolio is constructed on the basis of looking for these mispriced securities. Most of active return comes from stock selection. Initially, we have employed Black-litterman model to determine the weighting for each country in portfolio construction. By incorporating our opinions (significant difference between forecasted return and implied return in each market) into the market-based optimal model, heavier weighting will put on the high growth market (Black and Litterman,1991). As a consequence, more active return will be acquired because of realization of analyst’s opinions. In the subsequent stock selection, we use Markowitz efficient frontier to maximize the sharp ratio of our portfolio, which tries to maximize expected return within certain degree of portfolio risk(Edwin and Martin,2011). In this way, it also contributes to the better performance of portfolio.     #p#分页标题#e#

5.2 Theories on asset allocation
In the stage of asset allocation, how to allocate the capital between risk-free and risky assets relies on utility theory. According to the utility theory (maximizing investor’s utility), Investors should borrow more money to invest in the outperforming risky portfolio (Bordley and Pollock,2009). However, additional capital from borrowing is constrained, which impedes achieving higher active return. 5.3 Theories on performance attribution Foreign exchange risk has a negative effect in the portfolio’s return slightly. However, international diversification benefits contribute more in our portfolio and analysts could hedge exchange rate risk with the help of derivatives.

6. Conclusion总结

In general, the portfolio performed very well ,compared with the benchmark. This is mainly because of active portfolio management style, which combines Black Litterman model and Markowitz efficient frontier. However, there are still some shortages in the portfolio, such as prevention of short-selling and exposure to the foreign exchange rate risk. Therefore, we could relieve the limitation of the short-selling to get more diversification benefit ,while hedging against the foreign exchange rate risk by derivatives. In addition, since the fluctuation of the stock market, investor needs to rebalance and adjust the portfolio regularly.

Appendix
Table 1--Index Market Weight Market implied return Target Assets Analyst Opinion(d) Adjusted return Actual d Actual adj return E(R) Difference Active weights S&P 500 0.5157 0.0025 0 0 0.0025 0 0.0026 0.0001 27.88% TSX 60 0.0340 0.0026 0 0 0.0026 0 0.0027 0.0001 1.84% s&p europe 350 0.2339 0.0032 1 -0.0011 0.0021 0 0.0033 0.0013 12.65% topix 150 0.0646 0.0007 1 0.0011 0.0018 0.0005 0.0018 0.0000 12.10% sp asia 50 0.0605 0.0005 1 0.0016 0.0022 0.0010 0.0022 0.0000 17.40% sp latin america 40 0.0186 0.0031 0 0 0.0031 0 0.0033 0.0003 1.01% sp asx 50 0.0268 0.0002 1 0.0015 0.0018 0.0004 0.0018 0.0000 5.13% csi 300 0.0351 0.0004 1 0.0020 0.0024 0.0020 0.0024 0.0000 21.41% sensex 30 0.0107 0.0022 0 0 0.0022 0 0.0024 0.0001 0.58%          100.00% Table2—Performance evaluation Portfolio benchmark Average Return 0.00213 0.00757 Sharpe Ratio 0.21111 0.19118 Treynor 0.00596 0.00163 Jensen Alpha 0.00150 0.00133 M-Square 0.00034 0.00018 Information Ratio 0.17832 Omega 1.40230
Table3.1—Foreign exchange impact on risky portfolio(adjusted)    26/01/2015 2015/4/17 Country Stock WEIGHT Price at 01/26 Capital invested (USD) FX rate(FC/USD) Capital invested(FC) price at 17/04 Capital at the end (FC) FX rate(FC/UDC) Capital at the end(USD)    USA UA UN 1.60% 1902.92 1,438,563 1 1438563 1963.29 1484202 1 1484201.81 COG UN 0.76% 28.71 687,526 1 687526 32.87 787146 1 787146.08 BMY UN 2.45% 62.46 2,204,562 1 2204562 65.35 2306566 1 2306566.16 CELG UW 0.82% 124.12 740,190 1 740190 113.47 676678 1 676678.43 NFLX UW 1.19% 446.56 1,069,320 1 1069320 571.55 1368617 1 1368617.45 ALXN UW 0.08% 182.76 75,459 1 75459 181.34 74873 1 74872.8093 ABC UN 12.31% 95.85 11,080,134 1 11080134 112.61 13017568 1 13017567.9 REGN UW 3.65% 423.77 3,286,570 1 3286570 447.52 3470765 1 3470764.55 ACT UN 9.01% 285.02 8,113,361 1 8113361 297.05 8455806 1 8455806.24 CANADA CNQ CT 1.84% 1902.92 1,653,336 1.2474 2062372 1963.29 2127800 1.2246 1737547.22   EU MS IM 4.50% 1902.92 4,053,790 0.8898 3607062 1963.29 3721496 0.9254 4021456.43 EMG LN 8.14% 179.5 7,328,507 0.8898 6520906 208.5 7574423 0.9254 8184937.06   JAPAN 6460 JT 0.04% 1539 33,889 118.46 4014439 1678 4377017 118.9 36812.5918 8267 JT 2.20% 1244 1,983,344 118.46 234946892 1513.5 285845756 118.9 2404085.42 4324 JT 7.61% 4765 6,851,097 118.46 811580896 5560 946986313 118.9 7964561.08 5938 JT 1.66% 2343 1,494,639 118.46 177054926 2743 207281972 118.9 1743330.3 6701 JT 1.59% 362 1,429,191 118.46 169301921 392 183332467 118.9 1541904.69   ASIA 700 HK 5.84% 137 5,252,632 7.7518 40717349 158.8 47196460 7.7521 6088216.16 27 HK 6.56% 40.9 5,906,392 7.7518 45785173 38.55 43154485 7.7521 5566812.19 LATIN AMERICA GFNORTEO MM 1.01% 79.97 906,270 14.577 13210699 89.11 14720588 15.336 959871.393 ASUSTRALIA ILU AT 5.13% 7.09 4,618,266 1.2618 5827328 7.62 6262939 1.2849 4874262 CHINA 000970 CH 8.80% 17.07 7,915,733 6.2556 49517656 21.55 62513503 6.1979 10086239.3 300015 CH 12.10% 32.7 10,889,714 6.2556 68121694 42.42 88370711 6.1979 14258169.9 600309 CH 0.52% 22.61 467,744 6.2556 2926021 26.32 3406142 6.1979 549563.871 INDIA SUNP IB 0.39% 923.75 352,717 61.435 21669190 1037.3 24332829 62.365 390168.033 ITC IB 0.19% 349.25 167,055 61.435 10263036 351.75 10336501 62.365 165742.022 Stock Total 100.00% 90,000,000 1695823246 1973183625 102215901 T-bill    10,000,000 6.3145E-07    1.0001 10000505.2 TOTAL    99,999,999.91      112216406
Table3.2—Foreign exchange impact on risky portfolio(adjusted) Country Stock Total Gain (USD) Total return Gain from Investment capital return Gain from F/E return from F/E     USA UA UN 45638 0.001 45638 0.001 0 0.000 COG UN 99621 0.001 99621 0.001 0 0.000 BMY UN 102004 0.001 102004 0.001 0 0.000 CELG UW -63511 -0.001 -63511 -0.001 0 0.000 NFLX UW 299298 0.003 299298 0.003 0 0.000 ALXN UW -586 0.000 -586 0.000 0 0.000 ABC UN 1937434 0.022 1937434 0.022 0 0.000 REGN UW 184194 0.002 184194 0.002 0 0.000 ACT UN 342445 0.004 342445 0.004 0 0.000 CANADA CNQ CT 84211 0.001 52452 0.001 31759 0.000 EU MS IM -32333 0.000 128606 0.001 -160940 -0.002 EMG LN 856430 0.010 1183993 0.013 -327563 -0.004   JAPAN 6460 JT 2924 0.000 3061 0.000 -137 0.000 8267 JT 420742 0.005 429671 0.005 -8930 0.000 4324 JT 1113465 0.012 1143048 0.013 -29583 0.000 5938 JT 248691 0.003 255167 0.003 -6475 0.000 6701 JT 112714 0.001 118441 0.001 -5727 0.000 ASIA 700 HK 835585 0.009 835820 0.009 -236 0.000 27 HK -339580 -0.004 -339365 -0.004 -215 0.000 LATIN AMERICA GFNORTEO MM 53601 0.001 103580 0.001 -49979 -0.001 ASUSTRALIA ILU AT 255996 0.003 345230 0.004 -89234 -0.001 CHINA 000970 CH 2170507 0.024 2077474 0.023 93033 0.001 300015 CH 3368456 0.037 3236942 0.036 131514 0.001 600309 CH 81820 0.001 76751 0.001 5069 0.000 INDIA SUNP IB 37451 0.000 43357 0.000 -5906 0.000 ITC IB -1313 0.000 1196 0.000 -2509 0.000 Stock Total 12215901 0．522% 12641961 0.540% -426059 -0.018% T-Bill 505 5E-05 505 5.1E-05 0 0 TOTAL   0.470% 0.487% -0.018%
Table4.1-- Foreign exchange impact on risky portfolio (unadjusted)   26/01/2015 2015/4/17 Country Stock WEIGHT Price at 01/26 Capital invested (USD) FX rate(FC/USD) Capital invested(FC) price at 17/04 Capital at the end (FC) FX rate(FC/UDC) Capital at the end(USD)     USA UA UN 1.60% 1902.9 1438563 1 1438563 1963.29 1484202 1 1484202 COG UN 0.76% 28.71 687526 1 687526 32.87 787146 1 787146 BMY UN 2.45% 62.46 2204562 1 2204562 65.35 2306566 1 2306566 CELG UW 1.82% 124.12 1640190 1 1640190 113.47 1499455 1 1499455 NFLX UW 1.19% 446.56 1069320 1 1069320 571.55 1368617 1 1368617 ALXN UW 0.08% 182.76 75459 1 75459.1 181.34 74873 1 74873 ABC UN 7.31% 95.85 6580134 1 6580134 112.61 7730713 1 7730713 REGN UW 3.65% 423.77 3286570 1 3286570 447.52 3470765 1 3470765 ACT UN 9.01% 285.02 8113361 1 8113361 297.05 8455806 1 8455806 CANADA CNQ CT 1.84% 1902.9 1653336 1.2474 2062372 1963.29 2127800 1.2246 1737547 EU MS IM 4.50% 1902.9 4053790 0.8898 3607062 1963.29 3721496 0.92541 4021456 EMG LN 8.14% 179.5 7328507 0.8898 6520906 208.5 7574423 0.92541 8184937   JAPAN 6460 JT 0.04% 1539 33889 118.46 4014439 1678 4377017 118.9 36813 8267 JT 1.20% 1244 1083344 118.46 1.3E+08 1513.5 156134913 118.9 1313162 4324 JT 7.61% 4765 6851097 118.46 8.1E+08 5560 946986313 118.9 7964561 5938 JT 1.66% 2343 1494639 118.46 1.8E+08 2743 207281972 118.9 1743330 6701 JT 1.59% 362 1429191 118.46 1.7E+08 392 183332467 118.9 1541905 ASIA 700 HK 5.84% 137 5252632 7.7518 4.1E+07 158.8 47196460 7.7521 6088216 27 HK 11.56% 40.9 10406392 7.7518 8.1E+07 38.55 76033299 7.7521 9808091 LATIN AMERICA GFNORTEO MM 1.01% 79.97 906270 14.577 1.3E+07 89.11 14720588 15.336 959871 ASUSTRALIA ILU AT 5.13% 7.09 4618266 1.2618 5827328 7.62 6262939 1.2849 4874262 CHINA 000970 CH 8.80% 17.07 7915733 6.2556 5E+07 21.55 62513503 6.1979 10086239 300015 CH 12.10% 32.7 10889714 6.2556 6.8E+07 42.42 88370711 6.1979 14258170 600309 CH 0.52% 22.61 467744 6.2556 2926021 26.32 3406142 6.1979 549564 INDIA SUNP IB 0.39% 923.75 352717 61.435 2.2E+07 1037.3 24332829 62.365 390168 ITC IB 0.19% 349.25 167055 61.435 1E+07 351.75 10336501 62.365 165742 Stock Total 100.00% 90000000 1.6E+09 1871887518 100902178 T-Bill    10000000 6.3E-07    1.000051 10000505 TOTAL    100000000      110902683
Table4.2-- Foreign exchange impact on risky portfolio (unadjusted) Country Stock Total Gain (USD) Total return Gain from Investment capital return Gain from F/E return from F/E     USA UA UN 45638 0.001 45638 0.001 0 0.000 COG UN 99621 0.001 99621 0.001 0 0.000 BMY UN 102004 0.001 102004 0.001 0 0.000 CELG UW -140735 -0.002 -140735 -0.002 0 0.000 NFLX UW 299298 0.003 299298 0.003 0 0.000 ALXN UW -586 0.000 -586 0.000 0 0.000 ABC UN 1150580 0.013 1150580 0.013 0 0.000 REGN UW 184194 0.002 184194 0.002 0 0.000 ACT UN 342445 0.004 342445 0.004 0 0.000 CANADA CNQ CT 84211 0.001 52452 0.001 31759 0.000 EU MS IM -32333 0.000 128606 0.001 -160940 -0.002 EMG LN 856430 0.010 1183993 0.013 -327563 -0.004   JAPAN 6460 JT 2924 0.000 3061 0.000 -137 0.000 8267 JT 229818 0.003 234695 0.003 -4878 0.000 4324 JT 1113465 0.012 1143048 0.013 -29583 0.000 5938 JT 248691 0.003 255167 0.003 -6475 0.000 6701 JT 112714 0.001 118441 0.001 -5727 0.000 ASIA 700 HK 835585 0.009 835820 0.009 -236 0.000 27 HK -598302 -0.007 -597922 -0.007 -380 0.000 LATIN AMERICA GFNORTEO MM 53601 0.001 103580 0.001 -49979 -0.001 ASUSTRALIA ILU AT 255996 0.003 345230 0.004 -89234 -0.001 CHINA 000970 CH 2170507 0.024 2077474 0.023 93033 0.001 300015 CH 3368456 0.037 3236942 0.036 131514 0.001 600309 CH 81820 0.001 76751 0.001 5069 0.000 INDIA SUNP IB 37451 0.000 43357 0.000 -5906 0.000 ITC IB -1313 0.000 1196 0.000 -2509 0.000 Stock Total 10902178 0.466% 11324349 0.484% -422172 -0.018% T-Bill 505.1696 5E-05 505.1696 5.1E-05 0 0 TOTAL   0.420% 0.436% -0.018%     #p#分页标题#e#
Table5.1—Performance evaluation(adjusted) AFTER EQUITY SP1200 T-BILL PORTFOLIO BENCHMARK Average Return 0.002328 0.000554 0.000231 0.002118 0.000392 Std Dev (Risk) 0.007058 0.007070 0.000091 0.006352 0.003535 Covariance( Ri,Rm)    0.000021 0.000025 Var (Rm)    0.000050 0.000050 Beta    0.428295 0.492024 Non-Diversifiable Risk    0.003028 0.003479 Diversifiable Risk    0.003324 0.000056 Expected Return    0.000369 0.000390 Sharpe Ratio    0.297202 0.045762 Treynor    0.004408 0.000329 Alpha    0.001749 0.000003 M-Square    0.001778 0.000000 Information Ratio    0.519258 Omega    1.963391   Table5.2—Performance evaluation(unadjusted) BEFORE EQUITY SP1200 T-BILL PORTFOLIO BENCHMARK Average Return 0.002108 0.000554 0.000231 0.001920 0.000392 Std Dev (Risk) 0.007349 0.007070 0.000091 0.006614 0.003535 Covariance( Ri,Rm)    0.000021 0.000025 Var (Rm)    0.000050 0.000050 Beta    0.424065 0.492024 Non-Diversifiable Risk    0.002998 0.003479 Diversifiable Risk    0.003616 0.000056 Expected Return    0.000368 0.000390 Sharpe Ratio    0.255482 0.045762 Treynor    0.003985 0.000329 Alpha    0.001553 0.000003 M-Square    0.001483 0.000000 Information Ratio    0.422557 Omega    1.758015
component portfolio w benchmark w Portfolio Return Benchmark Return Asset Allocation Stock Selection interaction CURRENCY Total Active Equity 90.000% 50.000% 0.210% 0.028% 0.005% 0.091% 0.073% -0.018% 0.150% cash 10.000% 50.000% 0.002% 0.012% 0.011% 0.000% 0.000% 0.000% 0.011% total 100.000% 100.000% 0.212% 0.039% 0.016% 0.091% 0.073% -0.018% 0.161% Table6.1—Performance attribution (adjusted portfolio) Table6.2—Performance attribution (unadjusted portfolio) component portfolio w benchmark w Portfolio Return Benchmark Return Asset Allocation Stock Selection interaction CURRENCY Total Active Equity 90.000% 50.000% 0.190% 0.028% 0.005% 0.081% 0.065% -0.018% 0.132% cash 10.000% 50.000% 0.002% 0.012% 0.011% 0.000% 0.000% 0.000% 0.011% total 100.000% 100.000% 0.192% 0.039% 0.016% 0.081% 0.065% -0.018% 0.143%
Figure1—Daily return Figure2.1-- Performance attribution (adjusted portfolio) 8%46%37%-9%Performance Attribution Composition Chart 1-adjustedAsset AllocationStock SelectionInteractionCURRENCY Figure2.2-- Performance attribution (unadjusted portfolio) 9%45%36%-10%Performance Attribution Composition Chart 2-unadjustedAsset AllocationStock SelectionInteractionCURRENCY

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