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Performance Attribution

Equity, Fixed Income, Security-Level, and Currency Overlay Attribution

Understand and demonstrate how your investment strategies enhance portfolio value. Our comprehensive attribution analysis empowers you to dissect performance across various dimensions, providing clear insights into the contributions of each investment decision.

Decisively Identify Sources of Excess Return

No matter how complex your investment strategy, we provide you with complete transparency into portfolio performance, right at your fingertips. Our advanced attribution methodologies are designed to align with your investment decision-making process, accurately reflecting the real impact of the portfolio manager's decisions on returns. With our solutions, the methodology adapts to your strategy, not the other way around.

Tailored Attribution for Every Asset Class

Effective asset management requires attribution methodologies as diverse as the assets themselves. Our platform delivers customized attribution methodologies that accurately reflect the performance-driving factors and management decisions unique to each asset class. Whether you're dealing with Equities, Fixed Income, or Currency Forwards, our solutions ensure precise and relevant performance analysis tailored to your specific needs.

Equity Attribution

Our advanced extensions of the Brinson-Fachler framework offer deeper insights than the standard model. With our platform, you can analyze excess returns both arithmetically and geometrically, side by side, and in terms of dollar value added. Our solution supports both cascading top-down attribution, which accommodates investment processes that prioritize sector allocation before stock selection, and bottom-up attribution for those focused on stock selection.

Fixed Income

Our fixed income attribution solutions incorporate the unique aspects of managing fixed income portfolios, including factors such as interest rate movements, yield curve changes, credit spreads, and duration. By addressing these complexities, we deliver meaningful insights tailored to the specific characteristics of bond portfolios. We offer two approaches for decomposing added value: Yield Curve Decomposition and Exposure Decomposition, providing comprehensive analysis from different perspectives.

Currency Attribution

Key factors in currency management, such as the cost of hedging, forward premiums, currency surprises, policy hedges, and active hedges, play a crucial role in decision-making. Our currency attribution solution incorporates these factors to provide meaningful insights, clearly explaining the sources of added value in currency overlay programs.

 Security Level Attribution

All our attribution methodologies are transaction-based and can cascade down to security-level details. This provides precise insights into the sources of added value, including the timing of each transaction.

Multi-layered Attribution

Our multi-layered attribution methodologies ensure a comprehensive evaluation of investment decisions across multiple stages. Each layer addresses different aspects of the investment process, including strategic and tactical asset allocation, as well as portfolio construction decisions like sector allocation and security selection. This approach provides detailed insights into the impact of each decision on overall performance.

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See beyond the numbers

Robust Attribution allows for all levels of customization in terms of grouping or classification, such as by asset class, sector, industry, country and currency. We believe in complete transparency in decomposing alpha to help you pinpoint where you generated those excess returns and how your investment decisions contributed to the overall performance.

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