Brinson Attribution, Multifactor Risk Analysis

Understanding and communicating the performance of a proposed strategy is contingent upon quick and accurate analysis of the risk exposure, Value at Risk (VaR), and performance attribution of a portfolio over time. Understanding the sources of portfolio volatility is an integral part of the quantitative portfolio management process. Traditionally, this analysis has been limited to using off-the-shelf risk models that do not allow for flexibility in the specification of either potential risk factors or the investment universe.

ModelStation® Risk and Performance Attribution

ModelStation provides a flexible and easy to use solution for identifying sources of portfolio risk and return. By decomposing portfolio volatility into individual factor contributions, ModelStation enables you to immediately determine whether your portfolios fall within the mandated exposure limits, and act to reduce or increase exposures as necessary. The risk factors used for decomposition may be selected from third party models such as Barra, Northfield, Axioma, or APT, or customized to use proprietary factors.

In addition to factor-model based risk decomposition, ModelStation provides comprehensive Brinson and multifactor return attribution, allowing managers and researchers to identify the sources of over and under performance in their strategies. Furthermore, ModelStation allows for bottom-up analysis of the portfolio to determine characteristics through time such as sector weightings and top/bottom return contributors.

Key Benefits:

• Evaluate the exposure characteristics of production or simulated portfolios
• Understand portfolio exposure to macro, fundamental, or sector factors
• Extend risk models to include proprietary insight into sources of risk
• Combines single period and historical portfolio analysis features

Feature Summary:

• Proprietary or third party factor risk model support
• Detailed reporting to on a benchmark-relative or absolute scale
• Return contribution analysis
• Brinson performance attribution
• Multifactor attribution