Equity Return Attribution

To enable active investment managers to more effectively manage their client portfolios should understand the relationship between portfolios’ excess returns and their investment decisions. Additionally, senior management and investors need feedback why portfolios either out-performed or under-performed their benchmarks.

Main Features

Main benefits:

  • Several methodologies applied to attribute active return (allocation and stock selection, interaction) to investment decisions (from arithmetic to multi-currency geometric using top-down and bottom-up approaches)
  • Daily calculation at security/position level and roll-up to any classification level
  • Attribution analysis applied to user defined portfolio group structures (each group has its own benchmark)
  • Smoothing algorithms for arithmetic methodologies