Periods

1 2 3 4 5 6 7 8 9
Weights
TAA
A 5.00% -10.00% -10.00%
B -2.50% 10.00%
C -2.50% 10.00%
Total 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Portfolio
A 65.00% 60.92% 51.62% 60.41% 61.15% 60.65% 50.18% 59.76% 59.65%
B 37.50% 39.08% 38.38% 39.59% 38.85% 39.35% 49.82% 40.24% 40.35%
C -2.50% 0.00% 10.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
Benchmark
A 60.00% 60.92% 61.62% 60.41% 61.15% 60.65% 60.18% 59.76% 59.65%
B 40.00% 39.08% 38.38% 39.59% 38.85% 39.35% 39.82% 40.24% 40.35%
C 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
Returns
Alphas
A 0.00% 0.00% 0.00% 0.00% 0.00% 0.10% 0.10% 0.10% 0.10%
B 0.10% 0.10% 0.10% 0.10% 0.10% 0.10% 0.10% 0.10% 0.10%
C -0.20% -0.20% -0.20% -0.20% -0.20% -0.20% -0.20% -0.20% -0.20%
Total
Portfolio
A 0.96% 2.34% -4.54% 7.64% 1.53% 6.34% 1.38% -0.01% -3.31%
B -2.77% -0.51% 0.53% 4.45% 3.79% 8.44% 3.16% 0.48% -2.12%
C 5.74% 6.43% -0.75% 8.69% 0.60% 2.08% 4.97% -2.54% -1.95%
Total -0.56% 1.22% -2.22% 6.38% 2.41% 7.16% 2.26% 0.18% -2.83%
Benchmark
A 0.96% 2.34% -4.54% 7.64% 1.53% 6.24% 1.28% -0.11% -3.41%
B -2.87% -0.61% 0.43% 4.35% 3.69% 8.34% 3.06% 0.38% -2.22%
C 5.94% 6.63% -0.55% 8.89% 0.80% 2.28% 5.17% -2.34% -1.75%
Total -0.57% 1.18% -2.64% 6.34% 2.37% 7.06% 1.99% 0.08% -2.93%
Contributions
Q1: BM
A 0.57% 1.42% -2.80% 4.62% 0.94% 3.78% 0.77% -0.07% -2.04%
B -1.15% -0.24% 0.16% 1.72% 1.43% 3.28% 1.22% 0.15% -0.89%
C 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total -0.57% 1.18% -2.64% 6.34% 2.37% 7.06% 1.99% 0.08% -2.93%
Q2: Active Alloc
A 0.62% 1.42% -2.35% 4.62% 0.94% 3.78% 0.64% -0.07% -2.04%
B -1.08% -0.24% 0.16% 1.72% 1.43% 3.28% 1.52% 0.15% -0.89%
C -0.15% 0.00% -0.06% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total -0.60% 1.18% -2.24% 6.34% 2.37% 7.06% 2.16% 0.08% -2.93%
Q3: Active Selec
A 0.57% 1.42% -2.80% 4.62% 0.94% 3.84% 0.83% -0.01% -1.98%
B -1.11% -0.20% 0.20% 1.76% 1.47% 3.32% 1.26% 0.19% -0.85%
C 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total -0.53% 1.22% -2.60% 6.38% 2.41% 7.16% 2.09% 0.18% -2.83%
Q4: PF
A 0.62% 1.42% -2.35% 4.62% 0.94% 3.84% 0.69% -0.01% -1.98%
B -1.04% -0.20% 0.20% 1.76% 1.47% 3.32% 1.57% 0.19% -0.85%
C -0.14% 0.00% -0.08% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total -0.56% 1.22% -2.22% 6.38% 2.41% 7.16% 2.26% 0.18% -2.83%
Q5: (wp-wb)*Rb
A -0.03% 0.00% 0.26% 0.00% 0.00% 0.00% -0.20% 0.00% 0.00%
B 0.01% 0.00% 0.00% 0.00% 0.00% 0.00% 0.20% 0.00% 0.00%
C 0.01% 0.00% -0.26% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Excess Returns
Additive 0.014% 0.039% 0.418% 0.040% 0.039% 0.100% 0.278% 0.100% 0.100%
 Geometric 0.014% 0.039% 0.429% 0.037% 0.038% 0.093% 0.272% 0.100% 0.103%
Log 0.014% 0.039% 0.428% 0.037% 0.038% 0.093% 0.272% 0.100% 0.103%
k 1.0057 0.9881 1.0249 0.9402 0.9767 0.9336 0.9792 0.9987 1.0297
k*=1/{1+r(b)} 1.0058 0.9883 1.0271 0.9404 0.9769 0.9340 0.9805 0.9992 1.0302
Additive Attribution Effects
Alloc
A 0.077% 0.000% 0.191% 0.000% 0.000% 0.000% 0.071% 0.000% 0.000%
B 0.057% 0.000% 0.000% 0.000% 0.000% 0.000% 0.107% 0.000% 0.000%
C -0.163% 0.000% 0.208% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum) -0.029% 0.000% 0.399% 0.000% 0.000% 0.000% 0.178% 0.000% 0.000%
Selec
A 0.000% 0.000% 0.000% 0.000% 0.000% 0.061% 0.060% 0.060% 0.060%
B 0.040% 0.039% 0.038% 0.040% 0.039% 0.039% 0.040% 0.040% 0.040%
C 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum) 0.040% 0.039% 0.038% 0.040% 0.039% 0.100% 0.100% 0.100% 0.100%
Inter
A 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.010% 0.000% 0.000%
B -0.002% 0.000% 0.000% 0.000% 0.000% 0.000% 0.010% 0.000% 0.000%
C 0.005% 0.000% -0.020% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum) 0.003% 0.000% -0.020% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum)
A 0.048% 0.000% 0.454% 0.000% 0.000% 0.061% -0.078% 0.060% 0.060%
B 0.109% 0.039% 0.038% 0.040% 0.039% 0.039% 0.356% 0.040% 0.040%
C -0.143% 0.000% -0.075% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum) 0.014% 0.039% 0.418% 0.040% 0.039% 0.100% 0.278% 0.100% 0.100%
Transformed Add Effects I: Continuously Compounding
Alloc
A 0.077% 0.000% 0.195% 0.000% 0.000% 0.000% 0.069% 0.000% 0.000%
B 0.058% 0.000% 0.000% 0.000% 0.000% 0.000% 0.105% 0.000% 0.000%
C -0.164% 0.000% 0.214% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum) -0.029% 0.000% 0.409% 0.000% 0.000% 0.000% 0.174% 0.000% 0.000%
Selec
A 0.000% 0.000% 0.000% 0.000% 0.000% 0.057% 0.059% 0.060% 0.061%
B 0.040% 0.039% 0.039% 0.037% 0.038% 0.037% 0.039% 0.040% 0.042%
C 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum) 0.040% 0.039% 0.039% 0.037% 0.038% 0.093% 0.098% 0.100% 0.103%
Inter
A 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.010% 0.000% 0.000%
B -0.003% 0.000% 0.000% 0.000% 0.000% 0.000% 0.010% 0.000% 0.000%
C 0.005% 0.000% -0.020% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum) 0.003% 0.000% -0.020% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum)
A 0.077% 0.000% 0.195% 0.000% 0.000% 0.057% 0.118% 0.060% 0.061%
B 0.095% 0.039% 0.039% 0.037% 0.038% 0.037% 0.154% 0.040% 0.042%
C -0.159% 0.000% 0.193% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum) 0.014% 0.039% 0.428% 0.037% 0.038% 0.093% 0.272% 0.100% 0.103%
Transformed Add Effects II: Multiplicative (Discretely Compounding)
Alloc
A 0.077% 0.000% 0.196% 0.000% 0.000% 0.000% 0.069% 0.000% 0.000%
B 0.058% 0.000% 0.000% 0.000% 0.000% 0.000% 0.105% 0.000% 0.000%
C -0.164% 0.000% 0.214% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (prod) -0.029% 0.000% 0.410% 0.000% 0.000% 0.000% 0.174% 0.000% 0.000%
Selec
A 0.000% 0.000% 0.000% 0.000% 0.000% 0.057% 0.059% 0.060% 0.061%
B 0.040% 0.039% 0.039% 0.037% 0.038% 0.037% 0.039% 0.040% 0.042%
C 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (prod) 0.040% 0.039% 0.039% 0.037% 0.038% 0.093% 0.098% 0.100% 0.103%
Inter
A 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.010% 0.000% 0.000%
B -0.003% 0.000% 0.000% 0.000% 0.000% 0.000% 0.010% 0.000% 0.000%
C 0.005% 0.000% -0.020% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (prod) 0.003% 0.000% -0.020% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (prod)
A 0.077% 0.000% 0.196% 0.000% 0.000% 0.057% 0.119% 0.060% 0.061%
B 0.096% 0.039% 0.039% 0.037% 0.038% 0.037% 0.154% 0.040% 0.042%
C -0.159% 0.000% 0.193% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (prod) 0.014% 0.039% 0.429% 0.037% 0.038% 0.093% 0.272% 0.100% 0.103%
"Geometric Attribution" Effects
Alloc
A 0.077% 0.000% 0.196% 0.000% 0.000% 0.000% 0.069% 0.000% 0.000%
B 0.058% 0.000% 0.000% 0.000% 0.000% 0.000% 0.105% 0.000% 0.000%
C -0.164% 0.000% 0.214% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (sum) -0.029% 0.000% 0.410% 0.000% 0.000% 0.000% 0.174% 0.000% 0.000%
Selec
A 0.000% 0.000% 0.000% 0.000% 0.000% 0.057% 0.059% 0.060% 0.061%
B 0.040% 0.039% 0.039% 0.037% 0.038% 0.037% 0.039% 0.040% 0.042%
C 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (prod) 0.040% 0.039% 0.039% 0.037% 0.038% 0.093% 0.098% 0.100% 0.103%
Inter
A n/a n/a n/a n/a n/a n/a n/a n/a n/a
B n/a n/a n/a n/a n/a n/a n/a n/a n/a
C n/a n/a n/a n/a n/a n/a n/a n/a n/a
Total (prod) 0.003% 0.000% -0.021% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
Total (prod)
A n/a n/a n/a n/a n/a n/a n/a n/a n/a
B n/a n/a n/a n/a n/a n/a n/a n/a n/a
C n/a n/a n/a n/a n/a n/a n/a n/a n/a
Total (prod) 0.014% 0.039% 0.429% 0.037% 0.038% 0.093% 0.272% 0.100% 0.103%
 10 11 12 1-12

5.00%
-5.00%

0.00% 0.00% 0.00%

59.35% 64.51% 60.11%

40.65% 35.49% 39.89%
0.00% 0.00% 0.00%
100.00% 100.00% 100.00%

59.35% 59.51% 60.11%

40.65% 40.49% 39.89%
0.00% 0.00% 0.00%
100.00% 100.00% 100.00%

0.10% 0.10% 0.10%

0.10% 0.10% 0.10%
-0.20% -0.20% -0.20%

-0.24% -0.35% -0.21%

-0.92% -2.79% 1.77%
-6.21% 3.06% 2.80%
-0.51% -1.22% 0.58% 13.0668%

-0.34% -0.45% -0.31%

-1.02% -2.89% 1.67%
-6.01% 3.26% 3.00%
-0.61% -1.44% 0.48% 11.3296%

-0.20% -0.27% -0.19%

-0.41% -1.17% 0.67%
0.00% 0.00% 0.00%
-0.61% -1.44% 0.48% 11.3296%

-0.20% -0.29% -0.19%

-0.41% -1.02% 0.67%
0.00% 0.00% 0.00%
-0.61% -1.32% 0.48% 12.0866%

-0.14% -0.21% -0.13%

-0.37% -1.13% 0.71%
0.00% 0.00% 0.00%
-0.51% -1.34% 0.58% 12.3238%

-0.14% -0.23% -0.13%

-0.37% -0.99% 0.71%
0.00% 0.00% 0.00%
-0.51% -1.22% 0.58% 13.0668%

0.00% -0.07% 0.00%

0.00% 0.07% 0.00%
0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.0000%

0.100% 0.222% 0.100% 1.737%

0.101% 0.225% 0.100% 1.560%
0.101% 0.225% 0.099% 1.548%
1.0057 1.0135 0.9947 0.891298
1.0062 1.0146 0.9952 0.898234

0.000% 0.049% 0.000% 0.439%

0.000% 0.072% 0.000% 0.265%
0.000% 0.000% 0.000% 0.056%
0.000% 0.122% 0.000% 0.760% 0.757%

0.059% 0.060% 0.060% 0.467%

0.041% 0.040% 0.040% 0.530%
0.000% 0.000% 0.000% 0.000%
0.100% 0.100% 0.100% 0.997% 0.994%

0.000% 0.005% 0.000% -0.005%

0.000% -0.005% 0.000% 0.002%
0.000% 0.000% 0.000% -0.017%
0.000% 0.000% 0.000% -0.020% -0.014%

0.059% 0.042% 0.060% 0.901%

0.041% 0.180% 0.040% 0.797%
0.000% 0.000% 0.000% 0.039%
0.100% 0.222% 0.100% 1.737% 1.737%

0.000% 0.050% 0.000% 0.392%

0.000% 0.073% 0.000% 0.236%
0.000% 0.000% 0.000% 0.050%
0.000% 0.123% 0.000% 0.678%

0.060% 0.060% 0.060% 0.416%

0.041% 0.041% 0.040% 0.472%
0.000% 0.000% 0.000% 0.000%
0.101% 0.101% 0.099% 0.889%

0.000% 0.005% 0.000% -0.005%

0.000% -0.005% 0.000% 0.002%
0.000% 0.000% 0.000% -0.015%
0.000% 0.000% 0.000% -0.018%

0.060% 0.115% 0.060% 0.803%

0.041% 0.109% 0.040% 0.710%
0.000% 0.000% 0.000% 0.034%
0.101% 0.225% 0.099% 1.548%

0.000% 0.050% 0.000% 0.392%

0.000% 0.073% 0.000% 0.236%
0.000% 0.000% 0.000% 0.050%
0.000% 0.123% 0.000% 0.680%

0.060% 0.060% 0.060% 0.417%

0.041% 0.041% 0.040% 0.474%
0.000% 0.000% 0.000% 0.000%
0.101% 0.101% 0.100% 0.893%

0.000% 0.005% 0.000% -0.005%

0.000% -0.005% 0.000% 0.002%
0.000% 0.000% 0.000% -0.015%
0.000% 0.000% 0.000% -0.018%
0.060% 0.115% 0.060% 0.807%
0.041% 0.109% 0.040% 0.713%
0.000% 0.000% 0.000% 0.034%
0.101% 0.225% 0.100% 1.560%

0.000% 0.050% 0.000% n/a

0.000% 0.073% 0.000% n/a
0.000% 0.000% 0.000% n/a
0.000% 0.123% 0.000% 0.680%

0.060% 0.060% 0.060% n/a

0.041% 0.041% 0.040% n/a
0.000% 0.000% 0.000% n/a
0.101% 0.101% 0.100% 0.893%

n/a n/a n/a n/a

n/a n/a n/a n/a
n/a n/a n/a n/a
0.000% 0.000% 0.000% -0.018%

n/a n/a n/a n/a

n/a n/a n/a n/a
n/a n/a n/a n/a
0.101% 0.225% 0.100% 1.560%