Asset Management: Performance and risk attribution

This functionality enables an active performance and risk assessment of the impact of individual assets or asset group’s (sectors, regions, currency, instrument class) on the overall outcome of the investment portfolio.

The available performance and risk attribution models present different attribution effects such as:
•    allocation,
•    selection,
•    interaction,
•    duration,
•    return impact,
•    yield change or
•    currency effect

This is according to well known models, such as Brinson-Hood-Beebower or Brinson-Fachler used in equity portfolios or more sophisticated portfolios for fixed income and derivatives.

It is possible to construct your own attribution analysis with respect to positions contribution to portfolio return, excess return, volatility or tracking error.

This  helps portfolio managers to determine investment features - e.g. selection of portfolio instruments or allocation of selected portfolio instruments, which contribute to better or weaker performance or risk (volatility or tracking error) of the portfolio, compared to the benchmark.

You can learn more about Performance measurement & attribution module being the part of the Comarch Asset Management solution >>