Performance attribution

Module "Portfolio Service Extended Portfolio Analysis"

The term performance attribution refers to a return contribution calculation in which the total return of a portfolio is allocated to individual sub-portfolios or portfolio segments. Segments can be, for example, investment categories, sectors, countries, currencies, residual terms or even individual securities. Optionally, a comparison with a benchmark can be made. Special investments - loans, forward exchange transactions, margins and fixed-term deposits - and interest accounts are also included in the performance attribution.

The return contribution calculation forms the basis of every attribution analysis, whereby the latter procedure deals with the question: "What is the reason for the differential return of a portfolio compared to its benchmark over a defined period?" Aspects such as allocation, selection and timing are examined in more detail here.

Goals of performance attribution:

1. Breakdown of the overall performance of a portfolio into partial performances of individual portfolio segments (Segment performance)
2. Comparison of the individual segment performance values with an analogously segmented benchmark (Performance attribution)
3. Decomposition of the segment excess performance into the allocation and selection ability of the portfolio manager

For your reporting, you will also find optimized evaluations for performance attribution in the standard reports:

• Performance attribution report
• Report attribution history
• Report Performance Distribution