Performance Analysis

Performance Attribution Analysis - the top white papers

Attribution analysis involves comparing a portfolio's performance against a set benchmark and unpacking the excess return to examine the impact of various investment decisions.

Here are some of the best papers we have curated:

1. Fundamentals of Performance Attribution: The Brinson Model (BARRA)

This paper by Damian Laker, Director of Performance Attribution Strategy at Barra, recaps on the Brinson Model and looks at its practical implications.

2. Equity Performance Attribution - Investment Performance Under The Microscope

In this eight page paper from Deliotte, the authors present am overview of the various attribution analysis approaches used for equities. They include an analysis of one of the most complex parts of the attribution equation - the "linking" of different attribution factors. Finally they reveal a number of practical applications (for asset owners and investment managers) of the results from an attribution analysis report.

3. Total Portfolio Performance Attribution Methodology (Morningstar)

This Morningstar white paper takes the view that there are two parties affecting the decision-making process - the investment manager and the pension sponsor. Therefore, the total portfolio attribution is decomposed into those decisions stemming from the plan sponsor and those emanating from the investment manager.

4. Fixed income attribution (Royal Bank of Canada)

This paper from RBC offers an alternative to traditional models of fixed income performance attribution. It explores additional vale can be created and how new tools can be used to refine the attribution process.

5. Fixed Income Performance Attribution (Credit Suisse)

A 25 page Powerpoint presentation, given by Mary McCarthy, Head of Investment REporting at Credit Suisse in Zurich. The presentation examines the drivers of return in fixed income, and explores both a "returns based" and "factor based" approach.

6. Measuring the Rebalancing Premium: A New Portfolio Attribution Framework

This six pager from Janus Capital develops an attribution methodology for measuring "trading profit" (or "rebalancing premium") - the impact of systematically trading in order to move a portfolio back in line with target weightings. This approach can be applied to a variety of systematic processes which are impacted by a rebalancing effect (either intentionally or unintentionally). 

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