StatPro Revolution:Advanced Equity AttributionStatPro Revolution provides advanced equity attribution following the standard
Brinson & Fachler methodology. It breaks down a portfolio’s performance into
allocation, selection and optionally, interaction. Multi-period performance attribu-
tion can be calculated in StatPro Revolution using either the arithmetic (GRAP)
or geometric approach.
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 outper-
formed or underperformed
a benchmark.
> Top Down Attribution
> Bottom Up Attribution
> Multi-currency attribution
ATTRIBUTION MODELS OFFERED IN STATPRO REVOLUTION
TOP-DOWN ATTRIBUTION
The top-down approach 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 bench-
mark. The lowest level of analysis is segment level.
Top-down attribution
WHEN USING TOP DOWN MODEL, THE APPROACH CAN BE BROKEN DOWN INTO:
Top Down Single LevelThis refers to a unique allocation decision made along the portfolio hierarchy.
Top Down Multi LevelThis 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.
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 model also includes the ability
to define an overlay strategy to evaluate the effectiveness of currency hedging decisions.
Complete equity attribution solution breaking down
a portfolio’s performance into allocation, selection,
currency and optionally, interaction
StatPro Revolution equity attribution provides rela-
tive weight and attribution snapshot over selected
period of time, as well as historical time series of
allocation, selection, and contribution. This unique
feature presents a visual snapshot of attribution
history, allowing you to zoom in on any period of
particular interest.
In addition to comparing portfolio performance
against the benchmark, StatPro Revolution also pro-
vides attribution analysis of two portfolios against
one another, highlighting differences in performance
and investment decisions.
StatPro Revolution lets a user create a blended
target allocation benchmark that allows attribution
calculation against a benchmark for which a user
may not have a constituent-level license.
User-friendly and visual interface with dashboards
and data tables. In addition, a selection of ready-
made equity attribution report templates is avail-
able as PDF or Excel outputs.
MULTI-CURRENCY ATTRIBUTION
KEY FEATURES
The bottom-up attribution model is appropri-
ate to analyze a portfolio manager who focuses
on security selection. In this model, the stock
selection effect is considered primary. It aims to
explain the excess return (versus the benchmark)
not only in terms of stocks in the portfolio but
also stocks left out of the portfolio. Bottom-up
attribution can only be calculated when a con-
stituent level benchmark has been assigned to
the portfolio.
BOTTOM-UP ATTRIBUTION (STOCK-LEVEL ATTRIBUTION)
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Search "StatPro"
[email protected] | statpro.comStatPro Group plc is a public limited company registered in England. Registration number: 2910629
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Bottom-up attribution