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一只可爱的猪 · 2021年09月23日

计算过程

* 问题详情,请 查看题干

NO.PZ201809170400000305

问题如下:

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:

C is correct. 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.

老师,这道题的计算过程可以写一下吗

2 个答案

考拉 · 2024年02月07日

这题是不是就是Trading and Evaluation 这门课的BNB model

笛子_品职助教 · 2021年09月24日

嗨,爱思考的PZer你好:


看以下截图,用这个算法更容易理解


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虽然现在很辛苦,但努力过的感觉真的很好,加油!