Performance attribution
Why did this fund beat its benchmark?
When a fund does better than its index, the extra return came from one of two decisions: which sectors the manager put money into, or which stocks they picked inside those sectors. This page splits the difference between the two, and shows the working.
A manager makes two kinds of decisions.
Attribution grades each one separately. That matters, because a manager can be bad at the first and good at the second.
Decision one: which sectors
How much money goes into technology, into energy, into healthcare. If the fund holds more technology than its index does, that is a bet. The model scores the bet by asking whether technology beat the market as a whole — not just whether it made money.
Decision two: which stocks
Inside technology, which companies the fund actually holds. This is measured against the technology index itself, so the manager gets no credit for a sector that went up without their help.
Why the market average matters
An older version of this model gave a manager a positive score for overweighting any sector that made a profit. Brinson-Fachler fixed that. Putting extra money into a sector that returned 2% while the market returned 10% was a bad call, and it now scores as one.
Break down a single fund.
Pick a fund. The benchmark is filled in for you, and everything below updates.
Sector by sector
Every number is in percentage points of the fund's return
Sector bets next to stock picks
Which of the two did more work, in each sector
The same numbers, stacked
How much each sector added to the total
Compare two funds.
Two funds can end up with the same return and have got there in completely different ways. This is where that shows up.
Who bet on what
Return from sector choices, in each sector
What each fund's return is made of
Sector bets and stock picks, stacked
Change the weights.
Move a slider to hold more or less of a sector than the manager did. Everything below recalculates as you drag.
How much of each sector to hold
What if a sector crashes or rallies
These move a whole sector up or down. The fund and its index move together, so the manager's stock picking is unaffected — only the market underneath them changes.
Your sector bets against the manager's
Return from sector choices, in each sector
What it does to the total
The manager's portfolio next to yours
Three lines of algebra.
Written out for one sector at a time. Add them up across every sector and you get the fund's extra return exactly, with nothing left over.
What the letters mean
w — how much of a sector the fund holds
W — how much of it the index holds
Rf — what the fund made in that sector
Rb — what the index made in that sector
RB — what the whole index made
Two terms or three
The third term covers the overlap: holding extra of a sector and picking well inside it. Some people prefer to report two numbers instead of three, which you can do by folding that overlap into stock picks. Both versions still add up to the same total. A version that drops the third term without folding it in does not, and that is a common mistake.
Where the data comes from
The three funds here are made up, for teaching. The index names are real, but the holdings and returns are invented to show managers with different styles. Do not quote these numbers as anyone's actual performance.