This report shows how your asset allocation and selection of securities affects your portfolio’s performance when compared to the performance of the S&P 500 Index over a specified time period. Note that this report is applicable for both Time-Weighted Return (TWR) performance and Money Weighted Return (MWR) measures.
Note: The Performance Attribution vs. S&P 500 report is available from 2019 on.
Values are shown for each sector:
and for your account and for SPX (S&P 500).
| Field | Description |
|---|---|
| Beginning Weight | A percentage that represents how much your account and how much the S&P 500 was allocated to a particular sector at the start of the period of the report. The difference (+ or –) between the two percentages is also shown. |
| Ending Weight | A percentage that represents how much your account and how much the S&P 500 was allocated to a particular sector at the end of the period of the report. The difference (+ or –) between the two percentages is also shown. |
| Average Weight | A percentage that represents the average of how much your account and how much the S&P 500 was allocated to a particular sector over the period of the report. The difference (+ or –) between the two percentages is also shown. |
| Period Return | The absolute return percentage for each sector in your portfolio and for the S&P 500, and the difference (positive or negative) between the two. |
| Contribution to Return | The percent contribution of certain portfolio constituents (symbols, sectors) to the account's overall return. |
| Attribution Effect | The percent effectiveness of asset allocation and selection of securities on the portfolio's performance when compared to the performance of a benchmark over a specified time period. |
| Allocation | The percent effectiveness of an account's asset allocation to various sectors. The allocation effect determines whether the overweighting or underweighting of sectors relative to a benchmark contributes negatively or positively to an account's overall return. |
| Selection | A percentage that measures the ability to select securities within a sector relative to a benchmark. |
| Total Attribution | The sum of the Allocation and Selection percentages for each sector. |
| Cumulative Attribution Effect | The difference between the portfolio and benchmark return. |
| Weighting Effects | A percentage that represents whether the overweight or underweight of sectors relative to a benchmark contributes negatively or positively to the account’s overall return. |
| Underweight |
A scenario in which the portfolio holds a lesser amount of a security compared to the benchmark. |
| Overweight | A scenario in which the portfolio holds a greater amount of a security compared to the benchmark. |