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Risk Management
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PerfAttrib is an advanced attribution system that helps Asset Management companies analyze the performance of their funds on a standalone and relative basis. PerfAttrib establishes the cause-effect relation between the risk and return of the portfolio and the fund management decisions, thereby providing an invaluable insight into the effectiveness of fund management skills.

PerfAttrib provides various dimensions and approaches to analyze the results of active portfolio management.

  • Advanced Brinson Approach for equity portfolios enhanced with BrainMatics proprietary techniques
     

  • Attribution of Fixed Income Portfolios (Carry, Curve, Spread etc. effects)
     

  • Risk Factor Model Approach for Equity & Fixed Income portfolios

PerfAttrib answers the following questions:

What happened where?
Drill down of various statistics from portfolio to various sub portfolio hierarchical levels to understand the sources of risk and return.

Key Benefits

  • Different dimensions to provide a complete picture
     

  • Exhaustive analysis at all hierarchical levels
     

  • Ability to pinpoint performance
    drivers
     

  • Complete view of consistency & RAPM
     

  • Extremely user friendly and easy to understand

Why did it happen?
Comprehensive attribution of Active Return and Active Risk to fund management decisions including Sector Allocation, Security Selection etc. (for equity portfolios) and Curve Effect, Credit Effect etc. (for Fixed Income portfolios)

How well my risks paid off?
Risk Adjusted Performance Measures (RAPM) including Sharpe, Information, Sortino, Treynor ratios, beta etc. to understand whether the extra returns were justified with the levels of extra risks taken.

How consistent is the fund performance?
Complete trend reports including Style drifts, Upside-Downside analysis, Batting Average, Drawdown, Downside Deviations etc to understand whether the performance is just a blip or is repeatable .