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
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.
这个题目我发现到consumer的表现是偏离bemchmark最多的, 所以我选b, 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difference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?