Advanced Equity Attribution

Comprehensive attribution analysis

StatPro Revolution is the culmination of the breadth and depth of StatPro’s incredible expertise in portfolio analytics and reporting. Performance attribution quantifies the relationship between a portfolio’s excess return and the active decisions of the portfolio manager. It is an important tool to provide feedback to portfolio managers, senior management, clients and external consultants on why the portfolio either outperformed or underperformed a benchmark.

StatPro Revolution provides advanced equity attribution following the standard Brinson methodology. It breaks down a portfolio’s performance into allocation, selection and optionally, interaction. Attribution analysis can be calculated in StatPro Revolution using either the arithmetic (GRAP) or geometric approach.

The attribution models offered in StatPro Revolution

  • Top Down Attribution
  • Bottom Up Attribution
  • Multi-currency attribution

Top-Down Attribution

The top-down attribution model is appropriate to analyze a portfolio that follows a top-down investment process where one or more allocation decisions are made prior to security selection. For this type of analysis, the allocation effect is considered primary and the selection effect is secondary. This type of model can be run against a constituent level benchmark or a target allocation benchmark. The lowest level of analysis is segment level.

When using top down model, the approach can be broken down into:

  • Top Down Single Level – This refers to a unique allocation decision made along the portfolio hierarchy.
  • Top Down Multi Level – This approach refers to a series of allocation decisions taken successively.
  • Annualized Return – StatPro Revolution gives you the ability to see annualized attribution effect for top down attribution model. At least one year’s worth of data is required to run this approach.

Bottom-Up Attribution (Stock-Level Attribution)

Bottom-up attribution model is appropriate to analyze a portfolio manager who focuses on security selection. In this model, the selection effect is considered primary and the allocation effect is secondary. It aims to explain the excess return (versus the benchmark) not only in terms of stocks picked but also stocks left out of the portfolio. Bottom-up attribution can only be calculated when a constituent level benchmark has been assigned to the portfolio.

Multi-Currency Attribution

StatPro Revolution decomposes the portfolio return, which is in the base currency of the portfolio, into a local return and a currency return.  This allows users to isolate the return coming from movements in exchange rates between the currency the stock trades in and the base currency of the portfolio. In addition the multi-currency attribution model also includes the ability to define an overlay strategy to evaluate the effectiveness of currency hedging decisions.

In addition to visual dashboards and data tables, StatPro Revolution also offers a selection of ready-made Equity Attribution report templates, available as PDF or Excel outputs.

Stock-level attribution portfolio analysis

Stock-level attribution

StatPro Revolution - equity attribution

Equity attribution

StatPro Revolution - annualized attribution analysis

Annualized attribution analysis

StatPro revolution Attribution menu showing Top-Down Attribution, Buttom-Up Attribution, Annualized Attribution and Currency Overlay

StatPro Revolution attribution models

StatPro Revolution attribution with currency overlay

StatPro Revolution attribution with currency overlay

 

Learn More

Visit our Attribution Insight knowledge centre page to download our white paper, watch product videos and read blog articles.

You can also download our attribution fact sheet.

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Download the fact sheet

 

 

 

Find out more

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