Attribution

Robust Attribution™ is the most comprehensive performance attribution application you will ever find on the market. It includes:

  • Equity attribution
  • Fixed income attribution
  • Currency hedging attribution
  • Security level attribution
  • Benchmark customization


An important consideration when implementing a performance attribution solution is to ensure that the investment management process is properly reflected. To demonstrate this concept, let’s look at a simplified example. Assume an international portfolio is invested in bonds and equities and the following investment management process is followed:

  1. Asset allocation between bonds and equities
  2. Country allocation within bonds
    Within each country...
    1. Duration decision
    2. Yield curve positionin
    3. Sector allocation
    4. Bond selection
  3. Country allocation within equities
    Within each country...
    1. Sector allocation
    2. Stock selection

Robust Attribution™ allows users to define the appropriate attribution methodology at all levels of the investment management process. For example:

Equity attribution

Proprietary extension of the Brinson-Fachler methodology for asset allocation and equity sector allocations decisions.

Fixed income attribution

Proprietary Fixed Income Attribution methodology for fixed income investments.

Currency attribution

Proprietary currency attribution methodology accounting for cost-of-hedging foreign assets. Inspired from Karnosky-Singer and Ankrim-Hensel for country allocation and currency allocation decisions.

Security level attribution

Proprietary extension of Brinson-Fachler for security level attribution

Propriatary extensions

The proprietary extensions of the above attribution methodologies allow to compute dollar-earned attribution, show interaction effect separately or included in selection, handle off-benchmark bets, account for... Read more

Propriatary extensions

The proprietary extensions of the above attribution methodologies allow to compute dollar-earned attribution, show interaction effect separately or included in selection, handle off-benchmark bets, account for cost-of-hedging when computing multi-currency / multi-country allocations and account for cost-of-carry when comparing futures derivatives returns against their respective indices.

Geometric versus Arithmetic

Report attribution using arithmetic and/or geometric approach

Dollar earned attribution

Report attribution in terms of dollar earned as well as percentage points

Interaction effect

Shown interaction effect separately and/or embedded within the selection effect

Carve-out attribution

Apply specific attribution methodology to a particular segment of the portfolio

Multi level cascading attribution

Apply various attribution methodologies such as equity, fixed income and currency, to various levels of the classification structures representing the investment management process

Bottom up attribution

Apply bottom up security level attribution methodology to portfolios that are managed from a “stock picking” approach

Multi period linking

Proprietary methodology for compounding attribution results over multiple periods without introducing a residual

Off-benchmark bets

Handle correctly situations when the portfolio is invested in asset classes that are not present in the benchmark and vice-versa

Derivative products

Properly recognize the economical exposure of derivative products. Notionally adjust exposures of both, corresponding asset classes and cash equivalents. Properly recognize the type of exposure:... Read more

Derivative products

Properly recognize the economical exposure of derivative products. Notionally adjust exposures of both, corresponding asset classes and cash equivalents. Properly recognize the type of exposure: i.e. currency versus asset. For example, index futures on foreign markets provide asset exposures but no currency exposures. Currency forwards provide currency exposures but no asset exposures. Take into account the cost-of-carry when comparing the return of index futures against the retrun of their corresponding market indexes. Recognize the appropriate currency exposure when accounting for the cost-of-hedging (such as suggested by Kanorsky-Singer and Ankrim-Hensel) when computing country and and currency allocations.