Fund Holdings Categories

Fund Weight (Begin)

The begin weights of each security reflect how much of the entire value of the fund is constituted by that security at the beginning of the reporting period, reflected as a percentage. In a long-only fund, this value will always be between 0% and 100%. Otherwise, the begin weight of a security can be negative (reflecting a short sale) or greater than 100% (reflecting leverage).

Benchmark Weight (Begin)

The values in this column are the weights of each security in the benchmark at the beginning of the reporting period. For most standard benchmarks, the weight of each security in the benchmark is defined, not calculated by the report process. For example, the S&P 500 assigns weights according to market capitalization.

Active Weight (Begin)

The difference between the begin weights of the fund and those of the benchmark.

Fund Weight (Average)

Average fund weight differs depending on which methodology is used to create the report since different methodologies assign weights differently. Please refer to the Performance Methodology explanations for specific details.

Regardless of methodology, average fund weight is calculated from the following equation.

Benchmark Weight (Average)

Benchmark average weights do not usually depend on the chosen methodology since the benchmark is often buy and hold by construction. In any case, as for the Fund, the average weight is the arithmetic average of its begin weights over the sub-periods in the reporting period.

Active Weight (Average)

The difference between the average weight of the fund and that of the benchmark.

Fund Weight (End)

The end weights of each security in the fund reflect how much of the entire value of the fund is constituted by that security at the end of the reporting period. In a long-only fund, this value will always be between 0% and 100%. Otherwise, the end weight of a security can be negative (reflecting a short sale) or greater than 100% (reflecting leverage).

Benchmark Weight (End)

The benchmark weights of the securities at the end of the reporting period are calculated exactly the same as they are for fund weights at the end of the reporting period.

Active Weight (End)

The difference between the end weights of the fund and those of the benchmark.

Fund Contribution (Fund Ctrb)

The values in this column measure the contribution of each security to the total return of the fund. Contributions are additive in the sense that the sum of the contributions is the cumulative return of the fund over the reporting period.

Benchmark Contribution (Benchmark Ctrb)

The values in this column measure the contribution of each security to the total return of the benchmark. The sum of the contributions of each security is the cumulative return of the benchmark over the reporting period. The calculation is identical as that for the fund contribution except that benchmark weights and returns are used.

Active Contribution (Active Ctrb)

The active contribution is the difference between the contributions of the fund and those of the benchmark.

Fund Total Return (Trade)

Fund total returns are the returns on the securities taking into account trades. If the fund period returns are loaded into ODIN from the data, those returns will be used. Otherwise, the calculated fund returns are used. Regardless of the return methodology chosen, the Fund Total Return for each security is calculated as shown below.

Benchmark Total Return (Trade)

The Benchmark Total Return is defined analogously to the Fund Total Return and is calculated in one of two ways. If the benchmark period returns are loaded into ODIN from the data, those returns will be used. Otherwise, the calculated benchmark returns are used. Regardless of the return methodology chosen, this Benchmark Total Return for each security is calculated as shown below.

Active Total Return

The difference between the fund total return and the benchmark total return.