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
Consumer staples
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???