Data Inputs for Brinson-Fachler Style Attribution
- Tom Fahey (Unlicensed)
- Pamela Totas (Deactivated)
Brinson-Fachler style attribution requires base and local returns and base average invested balances (market values) or weights for the portfolio and benchmark. The system derives the currency and cross product returns from the base and local returns.
You can run the Performance Calculation report to calculate single-period returns and build the Performance model. Or specify the segment groupings in the Performance Analysis report rule instead of the Performance Calculation report. This is known as dynamic performance. The system supports Brinson-Fachler attribution when you configure dynamic performance in the report rule. Dynamic performance allows for ad hoc attribution analysis. See Performance Analysis and Reporting for details.
After specifying the segment groupings, use the Performance Analysis report to decompose the single or multicurrency equity portfolio's return and perform benchmark relative performance.
See Calculate Global Attribution Effects for the Brinson-Fachler Model for details.