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Return Attribution Report provides critical insights on the impact of Allocation and Security Selection decisions taken by the Portfolio Manager on the
portfolios return performance. This Report helps Portfolio Managers evaluate their past decisions and locate the key factors that contribute to return
differential with respect to the benchmark.
Base Date
02/29/2008
No. of Constituents
50
Beginning of Period
Returns* 02/01/2015
0.46%
End of Period
Volatility*04/3 0/2015
10.17%
Indxx SuperDividend US
Low Volatility Index
Beta**
0.67
Portfolio
Benchmark
S&P 500
Value-at-Risk (95%
Confidence Interval)
$305,647,000
R Square**
t-stat** $305,983,000
13.04%
0.51
7.91
*Annualized Values
**With respect to benchmark
A graphical representation of the historical weights of each industry since inception. This gives a perspective about change in industry exposure on a
historical basis.
Lists the Excess Return and Excess Weight of each industry in the portfolio with respect to benchmark. It helps the Portfolio Manager in identifying key
industries that contribute to Excess Return.
Weights
Industry
Portfolio Benchmark
Return
Excess Weights
Portfolio Benchmark
Portfolio Benchmark
Excess Return
Industrial Services
10.00%
2.04%
7.96%
14.12%
13.12%
1.41%
0.27%
1.14%
Consumer Non-Durables
12.00%
7.98%
4.02%
6.40%
2.52%
0.77%
0.20%
0.57%
2.00%
2.08%
-0.08%
17.29%
-2.24%
0.35%
-0.05%
0.39%
Transportation
Process Industries
Communications
Consumer Durables
Finance
2.00%
2.71%
-0.71%
21.25%
5.26%
0.43%
0.14%
0.28%
10.00%
2.38%
7.62%
3.39%
8.72%
0.34%
0.21%
0.13%
2.00%
1.46%
0.54%
6.14%
5.58%
0.12%
0.08%
0.04%
20.00%
16.50%
3.50%
5.54%
6.72%
1.11%
1.11%
0.00%
Distribution Services
0.00%
0.96%
-0.96%
0.00%
3.50%
0.00%
0.03%
-0.03%
Non-Energy Minerals
0.00%
0.38%
-0.38%
0.00%
15.61%
0.00%
0.06%
-0.06%
Commercial Services
0.00%
0.86%
-0.86%
0.00%
7.02%
0.00%
0.06%
-0.06%
Health Services
0.00%
2.35%
-2.35%
0.00%
9.02%
0.00%
0.21%
-0.21%
Miscellaneous
4.00%
0.00%
4.00%
-5.44%
0.00%
-0.22%
0.00%
-0.22%
Consumer Services
4.00%
5.85%
-1.85%
10.76%
11.59%
0.43%
0.68%
-0.25%
August 15
0.00%
6.82%
-6.82%
0.00%
4.98%
0.00%
0.34%
-0.34%
Retail Trade
0.00%
6.77%
-6.77%
0.00%
5.72%
0.00%
0.39%
-0.39%
Electronic Technology
0.00%
10.42%
-10.42%
0.00%
4.81%
0.00%
0.50%
-0.50%
Health Technology
2.00%
12.54%
-10.54%
-6.50%
3.26%
-0.13%
0.41%
-0.54%
Technology Services
0.00%
9.49%
-9.49%
0.00%
9.71%
0.00%
0.92%
-0.92%
Energy Minerals
6.00%
5.31%
0.69%
-9.91%
7.34%
-0.59%
0.39%
-0.98%
26.00%
3.10%
22.90%
-7.52%
-7.12%
-1.96%
-0.22%
-1.74%
100.00%
100.00%
0.00%
2.05%
5.73%
-3.68%
Utilities
Total
Green color indicates Top 3 Sectors by Excess Return Red color indicates Bottom 3 Sector by Excess Return
All weights are as of 02/01/2015
Unless state all values are as of 04/30/2015
Underperform
Underweight
Overweight
Outperform
Consumer Services
Non Energy Minerals
Retail Trade
Technology Services
Commercial Services
Health Services
Health Technology
Process Industries
Electronic Technology
Distribution Services
Product Manufacturing
Transportation
Miscellaneous
Consumer Durables
Utilities
Consumer Non
Durables
Finance
Energy Minerals
Industrial Services
Communications
Excess Weights
Excess Return
Industrial Services
7.96%
Consumer Non-Durables
Industry Allocation
Security Selection
Interaction Effect
1.14%
1.04%
0.02%
0.08%
4.02%
0.57%
0.10%
0.31%
0.16%
Transportation
-0.08%
0.39%
0.00%
0.41%
-0.01%
Process Industries
-0.71%
0.28%
-0.04%
0.43%
-0.11%
Communications
7.62%
0.13%
0.66%
-0.13%
-0.41%
Consumer Durables
0.54%
0.04%
0.03%
0.01%
0.00%
Finance
3.50%
0.00%
0.24%
-0.20%
-0.04%
Distribution Services
-0.96%
-0.03%
-0.03%
-0.03%
0.03%
Non-Energy Minerals
-0.38%
-0.06%
-0.06%
-0.06%
0.06%
Commercial Services
-0.86%
-0.06%
-0.06%
-0.06%
0.06%
August 15
-2.35%
-0.21%
-0.21%
-0.21%
0.21%
Miscellaneous
4.00%
-0.22%
0.00%
0.00%
-0.22%
Consumer Services
-1.85%
-0.25%
-0.21%
-0.05%
0.02%
Producer Manufacturing
-6.82%
-0.34%
-0.34%
-0.34%
0.34%
Retail Trade
-6.77%
-0.39%
-0.39%
-0.39%
0.39%
Electronic Technology
-10.42%
-0.50%
-0.50%
-0.50%
0.50%
Health Technology
-10.54%
-0.54%
-0.34%
-1.22%
1.03%
-9.49%
-0.92%
-0.92%
-0.92%
0.92%
0.69%
-0.98%
0.05%
-0.92%
-0.12%
22.90%
-1.74%
-1.63%
-0.01%
-0.09%
0.00%
-3.68%
-2.61%
-3.86%
2.79%
Technology Services
Energy Minerals
Utilities
Total
Figure 2 : Attribution Analysis Decomposing Excess Return based on Industry (Graphical Representation)
Breakdown of Excess Return to Industry Allocation, Security Selection and Interaction Effect based on industry. Industry Allocation corresponds to the level
of an industrys contribution to overall Excess Return because of its weight. Security Selection corresponds to the level of an industrys contribution to overall
Excess Return because of its choice of member securities. Interaction Effect corresponds to all the Excess Return that cant be explained by Size Allocation
and Security Selection.
2%
1%
0%
-1%
-2%
Industry Allocation
Security Selection
Interaction Effect
Weighting
Security
Size
Large Cap
August 15
Portfolio
28.00%
Excess
Weight
96.05%
-68.05%
Benchmark
Weighted Return
Portfolio
-0.43%
-5.96%
Size
Allocation
-3.92%
Security
Selection
-7.00%
Interaction
Effect
4.96%
32.00%
3.95%
28.05%
0.79%
0.19%
0.60%
1.35%
-0.09%
40.00%
100.00%
0.00%
100.00%
40.00%
0.00%
1.69%
2.05%
0.00%
5.73%
1.69%
-3.68%
0.00%
-2.58%
0.00%
-7.09%
Large Cap : Securities with Market Cap greater than $10 Billion.
-0.65%
1.69%
5.99%
Mid Cap : Securities with Market Cap between $2 Billion and $10 Billion.
August 15