Advanced Performance Attribution

 

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Quantify the Impact of Your
Investment Decisions

Summary:
Our advanced performance attribution takes Brinson style analysis to a whole new level. We give you the tools to analyze the performance of your portfolio and drill into both rates of return and P&L at the same time.

How It Works:
Because our portfolio system is tracking your exposure, transactions and classifications of investments, we are able to marry the pure accounting data with robust analytics to give you a singular view of performance already tied out to your accounting records. We can quantify and report on:

  • Impact of policy decisions (relative to risk free rate or alternative policy)
  • Impact of your variation from policy weights
  • Impact of manager selection
  • Impact of market timing
  • Impact of style bias (deviation of managers performance from core investment policy benchmark)

We offer a myriad of calculation options to fine tune the results to the way you like to report.

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Discover the features of
Performance Attribution with Parilux

Not Your Standard Brinson Analysis

Our approach to Performance Attribution was to provide the users with a “”decision”” based focus on attribution. Our system isolates the decisions like policy weights setting, deviations from policy weights, and manager selection and provides the user with a complete view of the resulting impact of those decisions. Here is a summary of some of the things we can measure:

  • Policy Contribution (Policy Weights at benchmark rates of return vs Risk Free Rates or any other rate )
  • Alternative Policy Contribution (to measure the impact deviating from a formal Policy with alternative policy weights)
  • Actual Category Selection (to measure the impact of your actual category weights relative to your policy weights)
  • Style Bias – impact of placing a “”non conforming”” manager in a policy class. (so for instance, this would measure the impact of putting a US Equity manager in an International Equity Policy bucket.)
  • Active Management Selection to measure the impact of your manager selection relative to their stated benchmarks.
  • Timing Effects – designed to measure the timing of entering and exiting transaction during a period relative to the performance of the asset class in general.

Drill into the Detail

You can then drill down on those decision impacts to gain knowledge of where the impact occurred over time periods and managers in your portfolio.

All attributions have the detail to back up the numbers. Clicking on any of our contribution results will return the exact source of the performance, whether manager or classification related.

Fully tied into your Portfolio Accounting

Data will tie to the exact portfolio results….no extra data work needed.

Because our Attribution system is built into the Portfolio system, no duplication of entry or rekeying of results are needed. Once the books are closed you just push a button and the data is used to calculate the attribution results.

Flexibility

You have complete control over the analysis. Numerous options to configure will allow you to fine tune the analysis and control your output. All source data is clearly traceable and can be easily checked for soundness within the performance module.

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FAQs

This attribution is certainly robust, but how do I know it’s right?

We give you a tremendous amount of detail to audit the results. Like any analysis, users need to understand the methods and data behind the numbers. Parilux Advanced Performance Attribution will give you access to all the data it is using plus warn you when something is missing.

Can I use this feature on a standalone basis without maintaining my portfolio in Parilux?

No, the process is fully tied into the portfolio system and will not take external position or p&l data. We currently don’t offer an API to this feature.

What time periods does this analysis cover?

The system looks at monthly data and returns and will provide you with attributions on a month by month basis. You can select and run the Performance Attribution across any number of months.

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