Overview of the Brinson-Fachler Model

Eagle's performance attribution component offers attribution analysis and reporting for single and multicurrency portfolios based on the Brinson-Fachler model. The Brinson-Fachler model:

• 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:

• Single time periods

• Multiple time periods ─ including Carino and Menchero smoothing or a Geometric Method that does not require smoothing for linking effects over more than a single time period

• Frequency - Monthly, Daily, Monthly to Daily Cutover

• Multiple segment levels

• Multiple attribution levels

• Multiple Security types – Single Position (S), Positions by Strategy (SS) and Positions by Strategy, and Dictionary Classification (SP). These security types support reporting security under multiple nodes.