Abstract: A system for generating an index portfolio by disaggregating a total return of an investment instrument is provided. The system is programmed to perform the steps of defining an analysis period, accessing financial data for a plurality of investment instruments over the analysis period, and evaluating a total return for each investment instrument based on the financial data. The evaluation includes determining a change in valuation multiple for each investment instrument over the analysis period and determining a fundamental performance of each investment instrument over the analysis period. The system is also programmed to perform selecting investment instruments from the plurality of investment instruments to include in a fund index based on primary selection criteria.