Risk Factor Attribution

Overview

What was the true source of active returns for a fund for a given period? Was it the stock selections a manager made, or the fund’s exposure to the 36 Morningstar Global Risk Factors? This component attempts to discern that answer.

As a chart, you can see whether the exposure to a risk factor provided more or less active return than that of a benchmark. Use the Component Settings icon to expose different risk factors in the chart, modify the period being considered, and change the benchmark.

As a table, you can not only see all risk factors at once, but you can also see a summary line contrasting the Factor Total to the Stock Specific attribution value. The Factor Premium column here indicates whether a fund was better off being overexposed or underexposed to a factor during the period.

For capabilities common to most components, read the Components Overview.

Alternate Uses

When viewing the component as a chart, use the Component Settings icon to change the Data Type from Absolute to Relative to Benchmark, to better determine which factors contributed to (or subtracted from) the fund’s outperformance relative to the benchmark being used.

Last Updated: June 21, 2018

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The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; (3) is not warranted to be accurate, complete or timely; and (4) does not constitute advice of any kind.  Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Any statements that are nonfactual in nature constitute opinions only, are subject to change without notice, and may not be consistent across Morningstar. Past performance is no guarantee of future results.