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Advent Software: Performance attribution – identifying the sources of investment performance

Middle East: Wednesday, August 12 - 2009 @ 11:27

It provides a way to communicate where the returns have come from when meeting with prospects as well as existing clients.

And it has allowed the performance measurement team to work more closely with the investment group by providing important information on the results of their investment decisions.

This Advent Software white paper provides an overview of what performance attribution is and how it works and contrasts two of the more
popular models to calculate equity attribution.

It is designed to be an introduction to the topic, not an exhaustive discussion, but it is hoped that readers will come away with a firm grasp of the fundamental principles of attribution as well as a practical understanding of how they can be used to measure performance.

Our focus is solely on equities, since fixed income attribution is a complex topic beyond the scope of this white paper.

- Introduction: A Powerful Analytic Tool
- A Familiar Concept
- Relative versus Absolute Attribution
- The Effects to Analyse: Allocation and Selection
- The Brinson Hood Beebower Model
- The Brinson Fachler Model
- Holdings versus Transaction-Based Attribution
- Conclusion: Putting Attribution to Work

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Wednesday, August 12- 2009 @ 11:27 UAE local time (GMT+4) Replication or redistribution in whole or in part is expressly prohibited without the prior written consent of Mediaquest FZ LLC.

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