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Add all the estimates obtained in step 5 to obtain the aggregate estimate for within-sector selection.

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Add all the components of performance attribution estimated in Step 2, 4 and 6 to obtain the value-added return. For performance and return records, refer to the distributions and analysis shown in the funds periodic reports. Approach the attribution calculation problem according to the mentioned steps in order to avoid making any attribution calculation errors. Critically evaluate the performance returns shown in the financial reports to make sure they have not been manipulated in any way.

Axioma | Axioma Performance Attribution: Assess, Improve Strategy

Kevin Sandler started his writing career as an academic researcher in , and has since than been involved in writing for various magazines and academic specialists including Academic Knowledge, Scholastic Experts and eHow, among others. His specialities include personal finance, investments, business and project management. Summary: Our advanced performance attribution takes Brinson style analysis to a whole new level.

How It Works: Because our portfolio system is tracking your exposure, transactions and classifications of investments, we are able to marry the pure accounting data with robust analytics to give you a singular view of performance already tied out to your accounting records. We can quantify and report on:.


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Our system isolates the decisions like policy weights setting, deviations from policy weights, and manager selection and provides the user with a complete view of the resulting impact of those decisions. Here is a summary of some of the things we can measure:. You can then drill down on those decision impacts to gain knowledge of where the impact occurred over time periods and managers in your portfolio.

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All attributions have the detail to back up the numbers. Clicking on any of our contribution results will return the exact source of the performance, whether manager or classification related. Because our Attribution system is built into the Portfolio system, no duplication of entry or rekeying of results are needed.

Once the books are closed you just push a button and the data is used to calculate the attribution results. You have complete control over the analysis.

2017: CFA Level 2: Portfolio Management - Analysis of Active Portfolio Management

Numerous options to configure will allow you to fine tune the analysis and control your output. All source data is clearly traceable and can be easily checked for soundness within the performance module. Implementation of a comprehensive software solution for our office seemed like a daunting task, but the assistance of Parilux team made the process smooth and manageable. Even more impressive was their responsiveness to new ideas and the speed of execution. The robust platform offering paired with an excellent customer service have truly improved the operating efficiency and expanded the capabilities of our office.

With sophisticated next generation portfolio analytics paired with our award-winning B-One performance and attribution solution, FactSet brings you greater accuracy of performance calculations and reporting with higher frequency and faster delivery while helping you maintain compliance with new and emerging regulations. FactSet hosts the "Head of Performance Community" offering you the ability to network with your peers, attend discussions with industry experts and learn about the latest performance, risk and reporting trends.


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  • Join here. Understand how management decisions such as security selection, group allocation, and currency tilts affected performance results. Evaluate relative performance in real time using several different attribution models, including equity, fixed income, balanced, risk, top down, and macro-level. Identify the securities and groups that contributed to or detracted from portfolio performance on an absolute or relative basis.

    How to Calculate Performance Attribution

    Attributing returns for balanced portfolios presents unique challenges. Understand the most common problems and how to solve for them in this white paper. Analyze the specific exposures that helped or hurt performance by evaluating relative performance using several sophisticated attribution models for equity, fixed income, and multi-asset class portfolios or macro attribution models for fund of fund or asset allocation strategies.


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    • Leverage two- or three-factor attribution to determine the allocation, selection, and interaction effects within your portfolio. Performance, attribution, and risk calculations rely on the quality of data and its aggregation.