The following figure shows typical results that a Multi-Manager Contribution analysis using Multi-Manager Attribution analysis can produce. Notice that within the Plan, the results are grouped by asset class (Equity, Fixed Income), and then by Manager.
Multi-Manager Contribution Analysis Sample Report
A multi-manager attribution report has these characteristics:
- Grouping Rule includes only Entity Hierarchy based fields above the performance model. The entity hierarchy fields identify the hierarchy structure of the Multi-Manager account, comprised of Performance Composite (ACOM) or COMP and portfolio type entities.
- Field Rule has only Global Attribution fields, or combines Global Attribution fields with fields valid for use with Entity Hierarchy fields.
- Global Attribution fields use the same Options and Field Map used by traditional Brinson-Fachler analysis.
Whenever you run a Performance Analysis report that includes Global Attribution Group fields and an Entity Hierarchy field is present in the report's grouping rule, the system performs a Multi-Manager Analysis using the Brinson-Fachler analysis style. The attribution analysis engine constructs a portfolio entity and enumerates that entity for each composite entity supplied to the report profile for each period (Day or Month) analyzed, where the:
- Returns for each level of the portfolio come from the Total Level Return for that entity within that level of the Entity Hierarchy.
- Weights are constructed from Market Value inputs that are read for each level of the Entity Hierarchy and then calculated from the Market Values.
- Benchmark corresponding to the constructed portfolio is constructed in a similar manner by looking at the benchmark for each of the entities at each level of the hierarchy and then using the Total Return for each of those benchmarks. Benchmark weights are defined to be the same as the Plan weights.
- Other fields on the report come from Entity Hierarchy functionality.
After the report that runs the attribution analysis engine constructs the portfolio and benchmark, it can calculate the contribution (and attribution effects, if desired) by passing these constructed entities to the Brinson-Fachler Global Attribution Group analysis. The weights used as input for the benchmark are the same as the portfolio weights. This causes an attribution to have zero Allocation and Interaction Effects. All of the active return is contained in the Selection Effect.
If Manager level entities join or leave the Plan during the individual periods (Day/Month) of the full multiple period analysis, the report includes those entities appropriately, using the standard ACOM or COMP inclusion and exclusion logic.
If the top level entity's Base Currency differs from the currency of the underlying Entities in the Entity Hierarchy, or from the associated benchmark's Base Currency, the report automatically performs FX conversion of the underlying entities to the top level entity's Base Currency.
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