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Is it possible to attribute performance of indices (monthly returns and risk measures - Sharpe ratio, etc.) to their sector weights (if I know them)?

Example: I know the monthly performance of various indices and I know the proportions they invest in each sector each month (e.g. health care 10%, utilities 5%, etc. in January - same for other months). Is it possible to find how the particular sectors attribute to the performance of indices from these inputs?

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    $\begingroup$ As concerns return, could it be that you are looking for the asset allocation/stock selection performance attribution according to Brinson/Fachler as described here: breakingdownfinance.com/finance-topics/modern-portfolio-theory/… if I have time later, I would expand this to an answer. $\endgroup$
    – Richi Wa
    May 6, 2021 at 6:37
  • $\begingroup$ If you know the index returns and sector weights, can you not calculate the sector returns? Alternatively, you can often find indices for sectors e.g. MSCI or S&P given a parent index. $\endgroup$
    – oronimbus
    Aug 24, 2023 at 6:44

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You can attribute all of those to sectors, but unfortunately only if you know the sector returns

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