"Equity Investments":Attribution of portfolio performance

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來(lái)源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2021/03/18 09:03:54　字體：大小

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Questions 1:

Which of the following statements concerning the use of industry analysis is most accurate? Industry analysis is most useful for:

A、 sector allocations in passive equity portfolios.

B、 portfolio performance attribution.

C 、evaluating market efficiency.

Questions 2:

An equity portfolio manager is evaluating her sector allocation strategy for the upcoming year. She expects the global economy to experience a slowdown period for the next two years. Furthermore, she believes that companies will be facing diminishing growth rates with respect to revenues and profits. On the basis of these beliefs, the portfolio manager will most likely overweight:

A 、materials.

B、 consumer staples.

C、autos.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. Portfolio performance attribution, which addresses the sources of a portfolio’s returns, usually in relation to the portfolio’s benchmark, includes industry or sector selection. Industry classification schemes play a role in such performance attribution.

A is incorrect. Industry analysis is used for identifying active equity investment opportunities, not passive allocation.

C is incorrect. Key determinants of the forms of market efficiency are types of available information that is reflected in market prices.

【Answer to question 2】B

【analysis】

B is correct. In periods of economic slowdowns, the manager would tend to overweight in non-cyclical companies, such as consumer staples.

A is incorrect. The materials sector tends to exhibit a relatively high degree of economic sensitivity.

C is incorrect. The telecommunication sector exhibits less economic sensitivity, so it should be overweighted, not underweighted.

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