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Calculates the impact of asset allocation based on the difference in portfolio weight and benchmark weight.
Combines the differential between the specific sector index return and the overall benchmark.
Calculates currency impact based on the ratio of the currency return of the portfolio relative to the currency return of the benchmark.
Calculates the impact of model fees when presenting net returns and contributions.
To handle currency, the Brinson-Fachler model uses local and base return inputs by segment and currency. The system derives currency and cross product returns from the base and local returns. The standard allocation and selection decomposition is applied to the local return between the portfolio and the benchmark. The selection includes an interaction effect that measures the combined impact of allocation and selection. The selection and interaction effects can be displayed separately on attribution reports. Brinson-Fachler style attribution analysis is available for the following:
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