The attribution of returns for balanced portfolios shares the same purpose as the attribution of returns for equity or fixed income portfolios: to explain the portfolio’s benchmark-relative performance over time using factors relevant to the manager’s investment strategy and decisions. But attributing returns for balanced portfolios presents unique challenges:
- Multiple managers may make autonomous investment decisions, with limited cross-manager communication, but collectively form the balanced portfolio’s management team.
- The asset classes that comprise balanced strategies are managed using different investment processes, and class-specific attribution models don’t account for these variations.
- Most models don’t or can’t accurately quantify the value added by each investment decision in the balanced investment process.
A balanced attribution model is different. For both single and multi-manager situations, the model solves these challenges by quantifying the relative value added by each step in the investment process, with factors designed for each investment decision and asset class.
Download our white paper to learn:
- Why a “one-size-fits-all” model is not appropriate for consumers of fixed income attribution
- How a flexible model can overcome this challenge with a high degree of user‐defined criteria that can be leveraged for a specific purpose and audience
- The factors to consider when running fixed income attribution