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1.6.16 TICCS Contributions

MAY 2024

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.

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