Again, an inspired guess that might trigger a better idea in you or a colleague.

A suggestion. Not as closely metaphorical as 'underweight', but a word often found in the same financial context.

Although Glenn is correct in his assessment, one cannot use "underweight(s)" as in "due to underweights."

Look at the following quote: "As a result of the REIT market’s focus on value and high yield, the healthcare, hotel, and outlet center sectors had the strongest performance for the month while the office, industrial and apartment sectors generated weaker returns. This held back the Fund’s relative returns as we are underweighted in the healthcare, hotel, and outlet center sectors and overweighted in the office, industrial and apartment sectors."

I would suggest something along the lines of: "The largest negative returns stemmed from underweighted positions in (list of companies)."