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    Portfolio Attribution Solved

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    Sagar Kansal
    The document compares the performance of the HDFC Top 200 Equity portfolio to its benchmark, the NSE Nifty. It shows the sector allocation and returns of both, finding that the portfolio outperformed over multiple periods, with most excess returns coming from within sector selection rather than allocation decisions.

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    Portfolio Attribution Solved

    Uploaded by

    Sagar Kansal
    20 views3 pages
    The document compares the performance of the HDFC Top 200 Equity portfolio to its benchmark, the NSE Nifty. It shows the sector allocation and returns of both, finding that the portfolio outperformed over multiple periods, with most excess returns coming from within sector selection rather than allocation decisions.

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    Portfolio Attribution solved

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    The document compares the performance of the HDFC Top 200 Equity portfolio to its benchmark, the NSE Nifty. It shows the sector allocation and returns of both, finding that the portfolio outperformed over multiple periods, with most excess returns coming from within sector selection rather than allocation decisions.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    20 views3 pages

    Portfolio Attribution Solved

    Uploaded by

    Sagar Kansal
    The document compares the performance of the HDFC Top 200 Equity portfolio to its benchmark, the NSE Nifty. It shows the sector allocation and returns of both, finding that the portfolio outperformed over multiple periods, with most excess returns coming from within sector selection rather than allocation decisions.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 3

    Portfolio Classification Portfolio Weight Benchmark Weight

    HDFC Top 200 Equity NSE Nifty

    Financials 28.8% 26.7%


    Energy 14.4% 11.7%
    Information Technology 13.6% 16.5%
    Industrials 8.9% 4.8%
    Consumer Discretionary 7.7% 8.6%
    Consumer Staples 7.5% 11.5%
    Materials 6.8% 8.6%
    Health Care 5.9% 5.7%
    Utilities 3.9% 3.9%
    Telecommunication Services 2.2% 1.8%

    Total return
    Excess Return

    Effect Result
    —Pure Sector Allocation effect 1.2%
    Within Sector Selection Effect 13.4%
    Interaction Effect 0.0%
    Total Effect 14.6%

    Portfolio Attribution
    Interaction Effect —Pure Sector
    0% Allocation effect
    8%

    Within Sector
    Selection Effect
    91%

    —Pure Sector Allocation effect Within Sector Selection Effect Interaction Effect
    Portfolio Return Benchmark Return —Pure Sector Allocation effect

    37.3% 25.4% -0.19%


    27.5% 24.7% -0.25%
    42.0% 51.9% -0.52%
    72.3% 74.1% 1.64%
    87.2% 42.0% -0.07%
    9.4% 2.8% 1.26%
    71.1% 66.7% -0.56%
    119.0% 25.7% -0.02%
    60.9% 25.4% 0.00%
    10.3% 13.7% -0.08%

    48.8% 34.1% 1.2%

    n
    Pure Sector
    ocation effect
    8%

    n Effect Interaction Effect


    —Within Sector Selection Effect Interaction Effect

    3.17% 0.25%
    0.32% 0.07%
    -1.62% 0.29%
    -0.09% -0.07%
    3.89% -0.41%
    0.76% -0.26%
    0.38% -0.08%
    5.27% 0.25%
    1.37% 0.01%
    -0.06% -0.01%

    13.4% 0.0%

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