1.6.16 TICCS Contributions
TICCS contributions to QoQ total return
For a given TICCS pillar (e.g. business model) the contribution of a TICCS category within it (e.g. contracted), at time t is computed as:
where:
is the weight of asset i at time t,
is the QoQ total returns of asset i at time t,
n is the number of constituents in that TICCS category
TICCS contributions to YoY total return
Just like the QoQ index total returns are compounded over 4 quarters to get to the YoY index total returns, the QoQ contribution for a given TICCS category are compounded using the index QoQ index total returns to get to the YoY contributions.
where:
is the QoQ total returns of the index at time t
Contributions expressed as percentages
The analytics described above are in absolute terms. Adding all the contributions across the categories of a TICCS pillar results in the index total returns. However, they can also be expressed in percentage terms like so:
The same can be done with YoY contribution.