Data Inputs for Karnosky-Singer Style Attribution

Karnosky-Singer style attribution requires local currency returns and base average invested balances (market values) or weights for the portfolio and benchmark, cash rates, and foreign exchange rates. The system requires cash rates for each period using the cash rates benchmark, which you specify when you configure the Global Attribution Group field.

You need to specify a hedge policy benchmark if you are using the synthetic Hedge using Weights Specified by Policy Benchmark hedging approach. The system requires hedge weights for each period for each currency using the hedge policy benchmark, which you specify when you configure the Global Attribution Group field. The sum of the hedge weights in each period must be equal to zero. For example, if you are increasing the exposure of one currency, you must decrease the exposure of one or more of the other currencies so that the total equals zero.

You must run the Performance Calculation report to calculate single-period returns and build the Performance model. For Karnosky-Singer attribution, add a unique entity field, such as ENTITY_ID, for the first segment group level, and specify currency for the second segment group level. You can have additional groupings below the currency, such as industry and sector. Note the system does not support Karnosky-Singer attribution when you configure dynamic performance in the report rule.

After running the Performance Calculation report, use the Performance Analysis report to decompose the multicurrency equity portfolio's return and perform benchmark relative performance.

See Calculate Global Attribution Effects for the Karnosky-Singer Model for details.