capture insight performance attribution · n // 2 today’s agenda » webinar details »...
TRANSCRIPT
CAPTURE INSIGHT PERFORMANCE ATTRIBUTION
WHAT DOES PAST PERFORMANCE ATTRIBUTION
SAY ABOUT FUTURE ACTIVE RISK?
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
2
TODAY’S AGENDA
» Webinar details
» Introduction to Bloomberg Portfolio Risk & Analytics
» Understanding customization
» Total return attribution
» Factor based attribution
» Analysis of active forward risk and risk bets
» Attribution analysis on your proprietary data
» Introduction to multi asset class attribution
» Q&A
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
3
MULTI ASSET CLASS, PORTFOLIO RISK
AND ANALYTICS SOLUTION
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
8
CONTRIBUTION TO RETURN - TOTAL RETURN (BRINSON) MODEL
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
11
COUNTRY, INDUSTRY, STYLE AND
CURRENCY CONTRIBUTION
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
14
RECAP SO FAR…
Portfolio return can be explained as contribution to
return from multiple perspectives:
• Total Return from a BICS, or Country, or
customized ‘Waterfall’ to slice and dice holdings.
• Factor Based Returns explain Industry, Style,
Country and Currency contribution.
Whether articulating performance to investors or
analyzing a potential new fund investment,
portfolio attribution explains past performance and
can inform your forward risk.
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
19
DESCRIBE A PORTFOLIO WITH
CUSTOM CLASSIFICATIONS
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
22
MULTIPLE ASSET CLASSES IN A
SINGLE PORTFOLIO OR BENCHMARK
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
23 MORE RESOURCES
• Contact your Bloomberg Rep for training, brochures and white papers
• HELP<GO> for further explanation and videos
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
WEBINAR DETAILS - RECAP
» On Demand
• This webinar will be available ON DEMAND starting on 12/12/14 and available for 90 days
» Slide availability
• The slides will be available through the ON DEMAND link to view this webinar; they will also be attached to the post webinar mailing
» Q&A
• We will attempt to answer as many questions as possible
• Additional answers to questions asked during today’s webinar will be aggregated and part of the post-mailing sent out the following week
» Inviting a colleague
• If you’d like to invite a colleague to view the ON DEMAND version of this presentation, they may register at AMER: http://www.bloomberglp.com/performanceattribution EMEA/APAC: http://www.bloomberglp.com/attribution
24
CA
PT
UR
E I
NS
IGH
T: P
ER
FO
RM
AN
CE
AT
TR
IBU
TIO
N
//
CONTACT >>>>>>>>>>>>>>>>>>>>>>>> [email protected] NEW YORK +1 212 617 7070 LONDON +44 20 7330 7099 SINGAPORE +65 6212 9798