Performance Attribution & Return Decomposition
Time-weighted returns, benchmark alpha, Brinson-Fachler attribution, and factor exposures
GIPS Verified Calculation Standard
Trailing Cumulative & Annualized Return Matrix
| Horizon | AEGIS Master NAV | S&P 500 Index | Excess Return (Alpha) |
|---|---|---|---|
| MTD | +2.14% | +1.62% | +0.52% |
| QTD | +6.80% | +5.10% | +1.70% |
| YTD | +14.20% | +10.78% | +3.42% |
| 1-Year | +26.85% | +21.40% | +5.45% |
| 3-Year (Ann.) | +18.40% | +12.90% | +5.50% |
| 5-Year (Ann.) | +16.70% | +11.20% | +5.50% |
Brinson-Fachler Attribution Breakdown
Asset Allocation EffectOverweight Technology & US Equities
+1.84%Stock Selection EffectAlpha from NVDA, MSFT, and Gold overlay
+1.42%Interaction & Currency EffectCross-product hedging & FX overlay
+0.16%Total Net Excess Alpha+3.42%
Active Quant Factor Loading
MomentumStrong Overweight
+1.42 Z-ScoreQuality / ROICOverweight
+1.15 Z-ScoreSize (Large-Cap)Mega-Cap Tilt
+0.88 Z-ScoreVolatility (Low Vol)Underweight Beta
-0.42 Z-ScoreValue / PB MultipleGrowth Orientation
-0.74 Z-Score