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Definition: Contribution
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The Contribution column, as it appears on the Position Performance and Performance Attribution reports, is a form of performance attribution that explains how much a position has contributed to the total return for the requested period. The sum of position-level contribution is equal to total return. Contribution is calculated differently for TWR and IRR. Here is how Contribution is calculated for both:
To calculate Contribution using TWR, these are the steps used:
Compute a daily position-level contribution factor:
Compute the daily position-level contribution:
Compute the daily adjusted contribution:
*
*Cumulative Return for Remaining Periods is the cumulative TWR for all days after the current date. This value is zero on the last day of calculation.
Compute the cumulative position-level contribution:
To calculate Contribution using IRR, these are the steps used:
Compute cumulative IRR for all categories using existing calculations.
Compute investment gain for all categories using existing calculations.
Compute Contribution using this equation:
