Performance Attribution Report

Methodology: Allocation effect = (w_p − w_b) × r_b — rewards/penalises over/underweighting sectors vs SPY benchmark. Selection effect = w_b × (r_p − r_b) — rewards picking better stocks within each sector. Interaction effect = (w_p − w_b) × (r_p − r_b) — joint effect of active weighting + stock-picking. Factor return uses Carhart (1997) five-factor model: Momentum, Quality, Value, Size (SMB), Low-Volatility. Idiosyncratic return = total − benchmark − factor return (unexplained by systematic factors). Benchmark: SPY · Benchmark weights approximate GICS sector composition of S&P 500. Reference: Brinson, Hood & Beebower (1986) "Determinants of Portfolio Performance", Financial Analysts Journal 42(4).