Brinson-Fachler Sector Attribution
Brinson-Fachler Sector Attribution: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). A portfolio manager want to run a sector rotation strategy over calendar year 2024 across 11 S&P 500 sectors plus cash. The benchmark uses the standard sector ETFs, but the…
The task
A portfolio manager want to run a sector rotation strategy over calendar year 2024 across 11 S&P 500 sectors plus cash. The benchmark uses the standard sector ETFs, but the portfolio swaps in three alternatives: VGT instead of XLK for tech, IYF instead of XLF for financials, VHT instead of XLV for healthcare. The…
Part of codeslord/skilltrainbench-public.