Time Periods (bop) 1 2 3 4 5 6 7 8

Monthly Segments Returns

A 0.96 2.34 -4.54 7.64 1.53 6.24 1.28 -0.11
B -2.87 -0.61 0.43 4.35 3.69 8.34 3.06 0.38
C 5.94 6.63 -0.55 8.89 0.80 2.28 5.17 -2.34

Monthly Segment Weights

A 70.00% 70.19% 60.27% 59.17% 59.37% 59.23% 49.48% 48.84%
B 20.00% 19.29% 18.76% 19.38% 18.85% 19.20% 29.67% 29.79%
C 10.00% 10.52% 20.98% 21.45% 21.78% 21.57% 20.85% 21.37%
Sum 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
A -10%, C +10% A -10%, B +10%

A) Monthly Results

Portfolio Returns 0.69 2.22 -2.77 7.27 1.78 5.79 2.62 -0.44

Segment Contributions
A 0.67 1.64 -2.74 4.52 0.91 3.70 0.63 -0.06
B -0.57 -0.12 0.08 0.84 0.70 1.60 0.91 0.11
C 0.59 0.70 -0.12 1.91 0.17 0.49 1.08 -0.50
Sum 0.69 2.22 -2.77 7.27 1.78 5.79 2.62 -0.44

B) Cumulative Results

Cum Portfolio Return 0.69 2.92 0.07 7.35 9.25 15.58 18.60 18.08

Cum Segment Contributions

A 0.67 2.32 -0.50 4.03 5.00 9.04 9.77 9.71
B -0.57 -0.69 -0.61 0.23 0.98 2.73 3.78 3.91
C 0.59 1.30 1.18 3.08 3.27 3.81 5.06 4.46
Sum 0.69 2.92 0.07 7.35 9.25 15.58 18.60 18.08

IMPORTANT CONCLUSION: Segment Contributions do not chain-link over time from monthly segment contributions directly!

Comments
Numbers in blue are given inputs
Numbers in green refer to 'active management' decisions
Numbers with yellow fill contain meaningful chain-linked information
 9 10 11 12 Chain-Linked

-3.41 -0.34 -0.45 -0.31 10.65

-2.22 -1.02 -2.89 1.67 12.34
-1.75 -6.01 3.26 3.00 27.22

49.00% 48.64% 49.34% 49.33%

30.04% 30.19% 30.41% 29.66%
20.97% 21.17% 20.25% 21.00%
100.00% 100.00% 100.00% 100.00%

-2.71 -1.74 -0.44 0.97 13.47

-1.67 -0.16 -0.22 -0.15 7.06

-0.67 -0.31 -0.88 0.50 2.18
-0.37 -1.27 0.66 0.63 4.01
-2.71 -1.74 -0.44 0.97 13.47

14.88 12.88 12.38 13.47

7.73 7.54 7.29 7.12

3.12 2.77 1.78 2.34
4.03 2.57 3.31 4.02
14.88 12.88 12.38 13.47