StatPro Revolution:Advanced Equity AttributionStatPro Revolution provides advanced equity attribution following the standard

Brinson & Fachler methodology. It breaks down a portfolio’s performance into

allocation, selection and optionally, interaction. Multi-period performance attribu-

tion can be calculated in StatPro Revolution using either the arithmetic (GRAP)

or geometric approach.

Performance attribution

quantifies the relationship

between a portfolio’s

excess return and the active

decisions of the portfolio

manager. It is an important

tool to provide feedback to

portfolio managers, senior

management, clients and

external consultants on why

the portfolio either outper-

formed or underperformed

a benchmark.

> Top Down Attribution

> Bottom Up Attribution

> Multi-currency attribution

ATTRIBUTION MODELS OFFERED IN STATPRO REVOLUTION

TOP-DOWN ATTRIBUTION

The top-down approach is appropriate to analyze a portfolio that follows a

top-down investment process where one or more allocation decisions are

made prior to security selection. For this type of analysis, the allocation effect

is considered primary and the selection effect is secondary. This type of model

can be run against a constituent level benchmark or a target allocation bench-

mark. The lowest level of analysis is segment level.

Top-down attribution

WHEN USING TOP DOWN MODEL, THE APPROACH CAN BE BROKEN DOWN INTO:

Top Down Single LevelThis refers to a unique allocation decision made along the portfolio hierarchy.

Top Down Multi LevelThis approach refers to a series of allocation decisions taken successively.

Annualized Return

StatPro Revolution gives you the ability to see annualized attribution effect for

top down attribution model. At least one year’s worth of data is required to run

this approach.

StatPro Revolution decomposes the portfolio return, which is in the base currency of the

portfolio, into a local return and a currency return. This allows users to isolate the return

coming from movements in exchange rates between the currency the stock trades in and the

base currency of the portfolio. In addition the multi-currency model also includes the ability

to define an overlay strategy to evaluate the effectiveness of currency hedging decisions.

Complete equity attribution solution breaking down

a portfolio’s performance into allocation, selection,

currency and optionally, interaction

StatPro Revolution equity attribution provides rela-

tive weight and attribution snapshot over selected

period of time, as well as historical time series of

allocation, selection, and contribution. This unique

feature presents a visual snapshot of attribution

history, allowing you to zoom in on any period of

particular interest.

In addition to comparing portfolio performance

against the benchmark, StatPro Revolution also pro-

vides attribution analysis of two portfolios against

one another, highlighting differences in performance

and investment decisions.

StatPro Revolution lets a user create a blended

target allocation benchmark that allows attribution

calculation against a benchmark for which a user

may not have a constituent-level license.

User-friendly and visual interface with dashboards

and data tables. In addition, a selection of ready-

made equity attribution report templates is avail-

able as PDF or Excel outputs.

MULTI-CURRENCY ATTRIBUTION

KEY FEATURES

The bottom-up attribution model is appropri-

ate to analyze a portfolio manager who focuses

on security selection. In this model, the stock

selection effect is considered primary. It aims to

explain the excess return (versus the benchmark)

not only in terms of stocks in the portfolio but

also stocks left out of the portfolio. Bottom-up

attribution can only be calculated when a con-

stituent level benchmark has been assigned to

the portfolio.

BOTTOM-UP ATTRIBUTION (STOCK-LEVEL ATTRIBUTION)

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info@statpro.com | statpro.comStatPro Group plc is a public limited company registered in England. Registration number: 2910629

Search "StatPro"

info@statpro.com | statpro.comStatPro Group plc is a public limited company registered in England. Registration number: 2910629

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Bottom-up attribution