Introduction to Performance Attribution

Performance attribution has become a standard part of investment performance measurement and reporting. It is a critical component of performance analysis, as it explains the sources of return. There’s a general expectation that both leading asset managers as well as their clients will produce performance attribution results. In spite of this, attribution is a rather complex subject, with many different facets and alternative approaches which must be considered in order to ensure it’s properly implemented and employed.

This session will address a number of aspects of performance attribution, including

  • Absolute attribution (also known as contribution) – how it’s done and how it’s used, from both a holdings- as well as a transaction-based perspective
  • Equity Attribution – a review of the Brinson models
  • Fixed Income Attribution – an overview of the subject, plus a review of a model
  • Arithmetic versus geometric attribution – what the different approaches mean, including a review of a geometric model
  • Multi-period attribution – a discussion on various methods to extend single period results across time
  • Transaction- versus holdings-based attribution – contrasting the methods
  • Multi-currency attribution – a review of two approaches including the Karnosky-Singer model.

This workshop will provide students with a solid footing on this subject. It will provide sufficient substance for students to understand the differences between the Brinson models, why fixed income requires its own model, the differences between arithmetic and geometric approaches, why arithmetic models do not easily link as well alternatives to extend single period results across time, as well as different approaches to multi-currency attribution.

DAVID SPAULDING, CEO, The Spaulding Group (USA)

       

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