What are some analytical methods to find contributions of sectors/industries to the market index?

I want to know analytical methods (the more innovative, the better!) to calculate contributions of sectors (ex. financials, consumer staples, industirals indices) to the market (ex. s&p index). In other words, I want to answer these questions: which sector had the biggest return and risk contribution to the market from t = t1 to t= t2? What percentage of total return and risk is coming from the TMT sector from t = t1 to t = t2? Performing simple multiple regression is one way, but what are other advanced/innovative ways?

this is job for ops dept at funds…ops team at my current fund does R programming for all performance attribution calculations. Looks pretty fancy and efficient. For internal use, of course. No one needs to know that after our 1.5/15, we under perform all kinds of index funds out there lol.

Alpha Architect has some cool tools to decompose different indexes. Not sure if they one that does this though

You can find historical data on market cap of S&P GICS sectors… If you don’t have access to this data, you can find very good proxies, like ETF prices for XLE, XLF, XLK, etc… Why are you guys talking about regressions and sht…

get a Bloomberg

i think a local society might have free access