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?

  • 1
    $\begingroup$ 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

1 Answer 1


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


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.