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Lulu1214 · 2020年08月19日

问一道题: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.

请问这个和业绩归因里面的Brinson mode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???

猫猫酱 · 2020年08月20日

sector returns就是指的benchmark sector return吧,或者benchmark sector return和portfolio sector return一样

1 个答案

maggie_品职助教 · 2020年08月20日

嗨,爱思考的PZer你好:


1、权益和业绩归因是两个独立的学科,知识点之间没有联系,考试也是单独考察

2、注意题目表格里面给sector return不是Rp,这里是做被动投资,相当于我们都是跟着benchmark走,只不过每个行业的权重稍许不同,因此这道题就是计算哪个行业权重差别是”primary contributor” to the portfolio’s underperformance relative to the benchmark。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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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

老师你好,我的思路是否正确问哪个sector对unrperformance的贡献最大,只需要计算这两类sectors1)sector return为正,但权重买少了;2)sector return为负,但比benchmark买多了。因为最终结果都为负值。如果问outperformance的话,就用类似的逻辑,只找return为正的sectors。不需要每个sector都计算一遍。谢谢。

2020-02-13 19:30 2 · 回答