Rev. Date May 30, 2019

The contribution to return (CRet) measures the amount of return that can be attributed to each risk factor.

The CRet of each factor can be computed as: 

The risk factor return (f) represents the arithmetic average of each factor's return. Please note that since the total return of each investment or portfolio represents the geometric average, there is an adjustment to each factor's contribution to return that is required to reconcile the basis between the total arithmetic return and the total geometric return.

This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.