...
Effect | Formula |
|---|---|
Currency | Fund Segment Weight * Fund Currency Return − Index Segment Weight * Index Currency Return |
Currency Cross Product | Fund Segment Weight * Fund Cross Product Return − Index Segment Weight * Index Cross Product Return |
DMYield | Fund Segment Weight * Fund DMYield Return − Index Segment Weight * Index DMYield Return |
Roll (Rolldown) | Fund Segment Weight * Fund Rolldown Return − Index Segment Weight * Index Rolldown Return |
Parallel Shift | Fund Segment Weight * Fund Parallel Shift Return − Index Segment Weight * Index Parallel Shift Return |
Curve Reshape | Fund Segment Weight * Fund Curve Reshape Return − Index Segment Weight * Index Curve Reshape Return |
Duration Matched Price | Fund Segment Weight * Fund DMPrice Return - Index Segment Weight * Index DMPrice Return |
Duration Matched Total | Fund Segment Weight * Fund DMTotal Return - Index Segment Weight * Index DMTotal Return |
Residual | Fund Segment Weight * Fund Residual Return - Index Segment Weight * Index Residual Return |
Yield Spread | Fund Segment Weight * Fund Yield Spread Return - Index Segment Weight * Index Yield Spread Return |
Price Spread | Fund Segment Weight * Fund Price Spread Return - Index Segment Weight * Index Price Spread Return |
Total Spread | Fund Segment Weight * Fund Total Spread Return - Index Segment Weight * Index Total Spread Return |
| Trading Effect | Fund Segment Weight * Fund Trade Return - Index Segment Weight * Index Trade Return |
| Price Source Effect | Fund Weight * Fund Price Source Return Where, Fund Price Source Return = Fund security price return – Index security price return The price source return is computed only when the security is held in both the fund and the index. |