Investment Performance Attribution Using Asset-Grouping Approach – Fidelity Mutual Funds Equally Weighted Sector Portfolio

The aim of this paper is to look beyond return-based models by incorporating the holdings data to provide additional insight. The study examines performance of Fidelity mutual funds equally weighted sector portfolio in relation to the broad market index S&P 500 for period 2011 to 2020. Brinson-Fackler and Brinson-Hood-Beebower attribution models were used including different model versions. In addition, geometric attribution model was used to provide analytical consistency for multi-period attribution. Our findings suggest that total allocation and selection effects are negative for the observed period. However, the effects are quite heterogenous across and within sectors. Overall, due to equally weighted sectors in portfolio, the allocation effect was negative for the sectors that had aggressive growth in the past decade. In addition, the “smart money” did not produce the value relative to the benchmark, even before management fees and tax burden