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SKY天天 · 2025年06月11日

其他方法可以吗？

  1. CFA III
  2. Equity

NO.PZ2019012201000054

问题如下：

McMahon performs a sector attribution analysis based on Exhibit 1 to explain the large-cap portfolio’s underperformance relative to the benchmark.

Using a sector attribution analysis based on Exhibit 1, which US large-cap sector is the primary contributor to the portfolio’s underperformance relative to the benchmark?

选项：

A.

Utilities

B.

Consumer staples

C.

Information technology

解释：

Below is the attribution analysis for selected sectors of the US large-cap portfolio.

Based on this analysis, the US large-cap portfolio’s information technology sector is the primary contributor to the portfolio’s disappointing equity returns because it provided the largest negative differential relative to the benchmark, with a differential of –0.04%. Although the information technology sector had a positive return, this sector was underweighted relative to the benchmark, resulting in a negative contribution to the portfolio’s returns.

这道题，可以用(Wp-Wb)*Return这个计算方法吗？看答案解析，数字算出来不一样，但是结果一下，不太确定了，问一下，谢谢

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1 个答案

笛子_品职助教 · 2025年06月12日

嗨，爱思考的PZer你好：


这道题，可以用(Wp-Wb)*Return这个计算方法吗？看答案解析，数字算出来不一样，但是结果一下，不太确定了，问一下，谢谢

Hello，亲爱的同学~

同学公式里的这个return，是什么return呢。

这里有benchmark factor return以及portfolio factor return。

按照equity这里的公式，要使用benchmark factor return。


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NO.PZ2019012201000054 问题如下 McMahon performs a sectorattribution analysis baseon Exhibit 1 to explain the large-cportfolio’s unrperformancerelative to the benchmark.Using a sector attribution analysis baseon Exhibit 1, whiUSlarge-csector is the primary contributor to the portfolio’s unrperformancerelative to the benchmark? A.Utilities Consumer staples C.Information technology Below is the attribution analysis for selectesectors of the USlarge-cportfolio.Baseon this analysis, the US large-cportfolio’s informationtechnology sector is the primary contributor to the portfolio’s sappointingequity returns because it provithe largest negative fferentirelativeto the benchmark, with a fferentiof –0.04%. Although the information technologysector ha positive return, this sector wunrweighterelative to thebenchmark, resulting in a negative contribution to the portfolio’s returns. 老师请问，Information technology (-0.04%) 和 Utilities (-0.02%) 的fference都是负数，所以就看绝对值大小，大的就是符合该题的条件？

2022-06-11 21:33 1 · 回答

NO.PZ2019012201000054 问题如下 McMahon performs a sectorattribution analysis baseon Exhibit 1 to explain the large-cportfolio’s unrperformancerelative to the benchmark.Using a sector attribution analysis baseon Exhibit 1, whiUSlarge-csector is the primary contributor to the portfolio’s unrperformancerelative to the benchmark? A.Utilities Consumer staples C.Information technology Below is the attribution analysis for selectesectors of the USlarge-cportfolio.Baseon this analysis, the US large-cportfolio’s informationtechnology sector is the primary contributor to the portfolio’s sappointingequity returns because it provithe largest negative fferentirelativeto the benchmark, with a fferentiof –0.04%. Although the information technologysector ha positive return, this sector wunrweighterelative to thebenchmark, resulting in a negative contribution to the portfolio’s returns. 这个题目我发现到consumer的表现是偏离bemchmark最多的, 所以我选题目是说是哪个分类导致portfolio比benchmark差的主因, 但这个题目算出来我们发现portfolio并没有比benchmark差 (我把fference加总为0, 表示跟踪误差基本没有), 那这样不就表示整个题目就不对了吗? 怎么能说information technology是业绩差的主因呢?

2022-05-03 11:28 2 · 回答

印象中老师好像讲过类似的概念，算某项的贡献度的时候，不管它的正负号，只看它的绝对值，按这个思路我选了应该如何区别这道题和我说的这个思路呢？

2020-10-27 22:22 1 · 回答

请问这个和业绩归因里面的Brinson mo里面的的allocation effect的部分的有没有联系的？但那边的allocation effect是(Wp-Wb)*Rb呀？这边是乘以Rp???

2020-08-19 17:23 1 · 回答