Overview of the Karnosky-Singer Model

Eagle's performance attribution component offers attribution analysis and reporting for multicurrency global portfolios based on the Karnosky-Singer model. The Karnosky-Singer model:

• Provides a clean separation between the effects of market decisions and currency decisions.

• Introduces a return premium, which accurately reflects the way that currency markets work.

• Quantifies the effects of currency hedging.

Currency hedging is often employed with multicurrency portfolios. Using forward rate agreements or currency futures, managers can achieve any currency exposure they want, regardless of the countries in which a portfolio's assets are invested. Karnosky-Singer attribution quantifies the effects of currency hedging using synthetic hedging scenarios. Synthetic hedging is designed to help you measure the cost or risk of a specific currency commitment. The synthetic hedging scenarios include both fully hedged and partially hedged currency positions.

Karnosky-Singer style attribution analysis is available for the following:

• Single time periods

• Multiple time periods ─ including Carino and Menchero arithmetic smoothing for linking effects over more than a single time period

• Monthly and daily frequencies

• Multiple segment levels