Introducing the Multi-Portfolio Attribution Model in BarraOne
Research Paper
July 29, 2015
Preview
This Product Insight introduces the Multi-Portfolio Attribution model in BarraOne. For Asset Owners investing in pension plans, Asset Managers investing in asset allocation portfolios and fund-of-fund managers who all invest across multiple asset classes, strategies and managers, the model captures the following results in a single analysis: the performance of both the Strategic Asset Allocation (SAA) and the investment portfolio; how much value was added by tactically deviating from the SAA; the impact of selecting managers investing in non-base currencies; the impact of any benchmark mismatch; whether managers outperformed their benchmarks; and whether there was value added by selecting the right managers.
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