Sector Attribution
| Sector | Port. Avg Weight | Port. Total Return | Port. Contrib. | Bench. Avg Weight | Bench. Total Return | Bench. Contrib. | Allocation Effect | Selection Effect | Total Effect | |
|---|---|---|---|---|---|---|---|---|---|---|
| Total | 100.00 | 103.84 | 103.84 | 100.00 | 86.60 | 86.60 | -3.41 | 20.88 | 17.47 | |
| Communication Services | 21.69 | 124.75 | 26.86 | 15.83 | 122.25 | 19.24 | 2.09 | 0.54 | 2.63 | |
| META | 13.93 | 127.05 | 17.70 | 5.93 | 127.05 | 7.54 | 2.85 | 0.67 | 3.52 | |
| GOOGL | 7.76 | 117.69 | 9.15 | 9.90 | 117.69 | 11.70 | -0.77 | -0.35 | -1.12 | |
| Consumer Cyclical | 6.52 | 91.46 | 5.73 | 11.42 | 75.31 | 8.40 | 0.55 | 1.05 | 1.61 | |
| AMZN | 6.52 | 91.46 | 5.73 | 8.71 | 91.46 | 7.62 | 0.25 | 1.05 | 1.30 | |
| HD | 0.00 | 31.22 | 0.00 | 1.68 | 31.22 | 0.54 | 0.19 | -0.00 | 0.19 | |
| MCD | 0.00 | 24.09 | 0.00 | 1.03 | 24.09 | 0.24 | 0.12 | -0.00 | 0.12 | |
| Consumer Defensive | 13.73 | 77.99 | 10.71 | 5.99 | 31.15 | 1.84 | -4.29 | 6.43 | 2.14 | |
| COST | 13.73 | 77.99 | 10.71 | 1.66 | 77.99 | 1.30 | -6.69 | 6.43 | -0.26 | |
| KO | 0.00 | 32.70 | 0.00 | 1.26 | 32.70 | 0.41 | 0.70 | 0.00 | 0.70 | |
| PG | 0.00 | 10.46 | 0.00 | 1.91 | 10.46 | 0.18 | 1.06 | -0.00 | 1.06 | |
| PEP | 0.00 | -1.38 | 0.00 | 1.17 | -1.38 | -0.04 | 0.65 | -0.00 | 0.65 | |
| Energy | 4.32 | 61.18 | 2.67 | 3.74 | 55.80 | 2.14 | -0.18 | 0.23 | 0.06 | |
| XOM | 4.32 | 61.18 | 2.67 | 2.39 | 61.18 | 1.48 | -0.59 | 0.23 | -0.36 | |
| CVX | 0.00 | 46.40 | 0.00 | 1.36 | 46.40 | 0.66 | 0.42 | -0.00 | 0.42 | |
| Financial Services | 7.42 | 98.16 | 7.20 | 10.88 | 61.55 | 6.67 | 0.87 | 2.71 | 3.58 | |
| JPM | 7.42 | 98.16 | 7.20 | 2.72 | 98.16 | 2.64 | -1.18 | 2.71 | 1.54 | |
| BRK-B | 0.00 | 49.20 | 0.00 | 4.21 | 49.20 | 2.10 | 1.05 | -0.00 | 1.05 | |
| V | 0.00 | 39.54 | 0.00 | 2.62 | 39.54 | 1.01 | 0.66 | -0.00 | 0.66 | |
| BAC | 0.00 | 70.91 | 0.00 | 1.33 | 70.91 | 0.91 | 0.33 | 0.00 | 0.33 | |
| Healthcare | 13.33 | 92.81 | 12.44 | 10.27 | 53.52 | 5.53 | -1.01 | 5.24 | 4.23 | |
| LLY | 10.92 | 121.16 | 13.22 | 3.43 | 121.16 | 4.16 | -2.48 | 7.38 | 4.91 | |
| JNJ | 0.00 | 58.17 | 0.00 | 1.78 | 58.17 | 1.03 | 0.59 | 0.00 | 0.59 | |
| ABBV | 0.00 | 46.84 | 0.00 | 1.46 | 46.84 | 0.67 | 0.48 | -0.00 | 0.48 | |
| MRK | 0.00 | 28.80 | 0.00 | 1.40 | 28.80 | 0.41 | 0.46 | -0.00 | 0.46 | |
| UNH | 2.41 | -31.47 | -0.78 | 2.20 | -31.47 | -0.73 | -0.07 | -2.05 | -2.12 | |
| Technology | 33.00 | 117.04 | 38.24 | 41.86 | 102.89 | 42.78 | -1.44 | 4.67 | 3.22 | |
| AAPL | 8.07 | 57.94 | 4.40 | 13.53 | 57.94 | 7.49 | -0.89 | -3.63 | -4.52 | |
| NVDA | 9.42 | 225.78 | 20.76 | 10.54 | 225.78 | 23.28 | -0.18 | 11.57 | 11.39 | |
| AVGO | 4.54 | 200.63 | 8.76 | 3.26 | 200.63 | 6.28 | 0.21 | 4.44 | 4.65 | |
| MSFT | 10.97 | 39.99 | 4.32 | 14.54 | 39.99 | 5.73 | -0.58 | -6.90 | -7.48 |
Total Effect By Sector
Sector Weights
| Sector | Port. Weight | Bench. Weight | Active Weight | Active Share | Contr. to Tracking Error | |
|---|---|---|---|---|---|---|
| Total | 100.00 | 100.00 | -- | 35.68 | 4.65 | |
| Communication Services | 21.59 | 15.71 | 5.88 | 2.94 | 1.46 | |
| META | 13.85 | 5.87 | 7.98 | 3.99 | 1.39 | |
| GOOGL | 7.74 | 9.84 | -2.10 | 1.05 | 0.07 | |
| Consumer Cyclical | 6.65 | 11.58 | -4.93 | 2.46 | -0.05 | |
| AMZN | 6.65 | 8.84 | -2.19 | 1.10 | -0.05 | |
| HD | 0.00 | 1.69 | -1.69 | 0.85 | -0.01 | |
| MCD | 0.00 | 1.04 | -1.04 | 0.52 | 0.02 | |
| Consumer Defensive | 13.64 | 6.02 | 7.62 | 3.81 | 1.37 | |
| COST | 13.64 | 1.64 | 12.00 | 6.00 | 1.27 | |
| PG | 0.00 | 1.93 | -1.93 | 0.96 | 0.03 | |
| KO | 0.00 | 1.27 | -1.27 | 0.64 | 0.02 | |
| PEP | 0.00 | 1.18 | -1.18 | 0.59 | 0.05 | |
| Energy | 4.28 | 3.70 | 0.58 | 0.29 | 0.05 | |
| XOM | 4.28 | 2.36 | 1.93 | 0.96 | 0.04 | |
| CVX | 0.00 | 1.35 | -1.35 | 0.67 | 0.01 | |
| Financial Services | 7.51 | 10.91 | -3.40 | 1.70 | 0.10 | |
| JPM | 7.51 | 2.74 | 4.77 | 2.38 | 0.11 | |
| BRK-B | 0.00 | 4.18 | -4.18 | 2.09 | 0.02 | |
| V | 0.00 | 2.63 | -2.63 | 1.32 | -0.02 | |
| BAC | 0.00 | 1.35 | -1.35 | 0.68 | -0.01 | |
| Healthcare | 13.32 | 10.32 | 3.00 | 1.50 | 1.49 | |
| LLY | 10.92 | 3.42 | 7.50 | 3.75 | 1.44 | |
| JNJ | 0.00 | 1.81 | -1.81 | 0.91 | 0.06 | |
| ABBV | 0.00 | 1.46 | -1.46 | 0.73 | -0.02 | |
| MRK | 0.00 | 1.44 | -1.44 | 0.72 | 0.02 | |
| UNH | 2.41 | 2.19 | 0.22 | 0.11 | -0.00 | |
| Technology | 32.99 | 41.75 | -8.76 | 4.38 | 0.21 | |
| AAPL | 8.15 | 13.62 | -5.47 | 2.73 | 0.29 | |
| MSFT | 10.95 | 14.44 | -3.49 | 1.75 | -0.11 | |
| AVGO | 4.46 | 3.19 | 1.28 | 0.64 | 0.09 | |
| NVDA | 9.43 | 10.50 | -1.07 | 0.54 | -0.06 |
Risk Factor Attribution
| Factor | Portfolio Exposure | Benchmark Exposure | Active Exposure | Risk Factor Effect |
|---|---|---|---|---|
| Total | 2.41 | 2.22 | 0.20 | 0.00 |
| Volatility | 0.52 | 0.24 | 0.28 | 0.00 |
| Size | -0.76 | -0.86 | 0.11 | -0.00 |
| Quality | 0.21 | 0.18 | 0.03 | 0.00 |
| Market Beta | 1.02 | 1.01 | 0.01 | -0.00 |
| Trading Activity | 0.82 | 0.85 | -0.03 | 0.00 |
| Value | -0.29 | -0.19 | -0.09 | 0.00 |
| Momentum | -0.11 | -0.01 | -0.10 | 0.00 |
Risk Factor Comparison
Cumulative Active Return Contribution By Factor
Active Risk Decomposition
Summary Metrics
| Metric | Value |
|---|---|
| Active Share | 35.7% |
| Ex Post Tracking Error | 4.6% |
| Ex Ante Tracking Error | 4.8% |
| Annualized Active Return | 5.7% |
| Information Ratio | 1.23 |
| Portfolio Total Risk | 15.4% |
| Benchmark Total Risk | 14.6% |
| Active Factor Risk | 3.9% |
| Active Specific Risk | 2.7% |
Largest Active Weights
| Ticker | Portfolio Weight | Benchmark Weight | Active Weight |
|---|---|---|---|
| COST | 13.7% | 1.6% | 12.1% |
| META | 13.9% | 5.9% | 8.0% |
| LLY | 10.8% | 3.4% | 7.4% |
| JPM | 7.5% | 2.7% | 4.7% |
| XOM | 4.4% | 2.4% | 2.0% |
| AVGO | 4.5% | 3.2% | 1.3% |
| UNH | 2.4% | 2.2% | 0.2% |
| MCD | 0.0% | 1.0% | -1.0% |
| NVDA | 9.3% | 10.4% | -1.1% |
| PEP | 0.0% | 1.2% | -1.2% |
| KO | 0.0% | 1.3% | -1.3% |
| BAC | 0.0% | 1.3% | -1.3% |
| CVX | 0.0% | 1.4% | -1.4% |
| MRK | 0.0% | 1.4% | -1.4% |
| ABBV | 0.0% | 1.5% | -1.5% |