N n=l n=l 11 The 5th industry's local return, as computed from the managed portfolio's holdings, is N N The same calculations are performed on sectors where each sector represents the combination of one or more industries. For each industry and sector we define a stock selection and group weight measure. II Stock selection (in terms of total return) for the z'th industry at a particular point in time is defined as Industry's managed weighty - 1) X [Industry's total return based on managed portfolio!?) - Industry's total return based on benchmark portfolio^)]. II Group weight (in terms of total return) for the 2th industry at a particular point in time is defined as Industry's active weighty - 1) X {Industry's total return based on benchmark portfolio)?) - [Benchmark's total return(^) - Cashf?)]}. Total of stock selection and group weight across all industries is: s s Total = ^ffr-l)x[^(?)-r,,f?)] + ^^ff?-l)x[^(?)-rfcw] i=i i=i s s = [rp (t)-Return on cash] -^wf (t-\)r-lJo(t) + ^wf (t- YpKh(t) <=i (=i <=i s s -J>? (t - \)ruh (t) - £"/? (t - \)rh (t) which is equal to: Total = [rp (t) - Return on cash] - rh (t) - ^_wf (t - \)rh (t) <=i Investment Style Contributions to Return Contributions and returns for investment styles are computed as follows: 1.    Sort assets according to their exposures to a particular investment style (e.g., sort assets by market capitalization). 2.    Group the sorted assets into, say, 10 buckets where the break points represent deciles (or some other quantile).