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Exercise

Industry attribution

In this exercise, you're going to calculate the relative industry position of your portfolio, versus a benchmark. As a portfolio manager you need to understand your portfolio's underweight and overweight positions (or "industry bets"), as they are a large driver of performance, as well as a potential source of risk.

The DataFrame portfolio_data is available, containing details about the industry classification, obtained from the Global Industry Classification System or "GICS", of your portfolio holdings, as well as your portfolio weights and the benchmark weights.

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  • Inspect the weights of your portfolio pf_weights, and of the benchmark under bm_weights. To make sure that the weights are correct, double check that the weights sum up to 100%.