Performance attribution report

Allocation, selection and interaction by sector, computed daily and linked over the quarter, with contributors, detractors and commentary. The total ties to the official return

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DOCXXLSX15 steps

The problem

Energy up 17% in Q3, utilities down 12%, and the weights moved all quarter

Run Brinson once on September 30 weights and energy bought in August is credited with July's move too, while the gap to the official return gets buried in selection. Use Brinson-Hood-Beebower and any overweight in a sector that rose counts as good allocation, even one that trailed the S&P 500's 2.3%. Effects have to be computed daily and linked before they add up to the excess return

The request

Q3 is closed. Build the attribution report for our US Core Equity fund against the S&P 500, July 1 to September 30, 2026, gross of fees. Brinson-Fachler by GICS sector with cash as its own line, computed daily on start of day weights from the holdings, trades and benchmark file attached, and linked with Carino so allocation, selection and interaction add to the quarter's excess return. Tie the total to our official return and explain any residual over 5 basis points. Rank the ten largest contributors and detractors to relative return, with what drove each. Workbook plus a client report with the quarter's commentary. Never run it on quarter end weights; we traded energy and utilities all quarter.

Core Equity daily holdings Q3 2026.xlsx
Core Equity transactions Q3 2026.xlsx
S&P 500 constituents Q3 2026.xlsx
Core Equity official returns Q3 2026.xlsx

How Axe works

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Approved or changes

Attribution report and workbookReport, workbook and tie out report

Final reviewApprove the revised files

Revised attribution report and workbookRevised files and tie out report

Step

Compute daily effects

Prompt

Sent to the model at this step

For every day of the quarter, compute Brinson-Fachler effects for each GICS sector and for cash, on the fund's and the benchmark's weights at the start of that day. Allocation is the fund's weight less the benchmark's, times the sector's benchmark return less the total benchmark return. Selection is the benchmark's weight times the fund's sector return less the benchmark's sector return. Interaction is the fund's weight less the benchmark's, times the fund's sector return less the benchmark's sector return. Cash carries a benchmark weight of zero and is measured against the total benchmark return like any sector. Check that each day the effects across sectors and cash add to the fund's return less the benchmark's for that day. Use Brinson-Fachler, not Brinson-Hood-Beebower: in a quarter when the S&P 500 rose 2.3 percent, an overweight in a sector that rose less is negative allocation, and Brinson-Hood-Beebower scores it as positive. Never report the quarter from September 30 weights: energy rose 17 percent in the quarter, and a position bought in August would be credited with July's move. Show that one period result only on its own labelled tab, so the portfolio managers can see what the shortcut gets wrong and by how much.

Uses

Period
Checked returns
Benchmark returns

Produces

Daily effects

What you get back

DOCXAttribution reportReturns, market review, the bridge, sector effects, contributors and detractors, positioning

XLSXAttribution workbookLinked effects by sector, monthly and daily effects, contributors, benchmark tie and residual

Tie out reportEach effect and figure marked tied, corrected or open, with its source

Make it yours

Swap in your benchmark, sector scheme or linking method, set your residual tolerance, or match your client report sections. Every step and every prompt can be edited

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