问一道题：NO.PZ2019012201000054

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？

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?

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???

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。