Pure Sector Allocation return assumes that the manager held what?

The correct choice highlights that the Pure Sector Allocation return assumes that the manager held the same securities as the benchmark in the same proportions. This concept focuses on evaluating the impact of sector allocation decisions on performance while stripping away the effects of individual security selection.

When analyzing a manager's performance relative to a benchmark, the Pure Sector Allocation return isolates the effect of how much capital is allocated to different sectors. By holding the same securities as the benchmark, the focus remains on the allocation among sectors rather than on the performance of specific securities. This allows for a clear understanding of whether the manager's sector weighting contributed positively or negatively to overall performance relative to the benchmark's sector performance.

Consequently, this approach is crucial for determining the effectiveness of the investment strategy in relation to sector exposure without the noise created by the variations in individual stock performance. This methodology is key to performance attribution analysis in portfolio management.