PERFORMANCE ATTRIBUTION FOR AN INVESTMENT FUND

摘要

Methods and apparatuses, including computer program products, are described for performance attribution for an investment fund. A server determines a selected asset allocation for a primary investment fund based upon a manager-selected weight and asset class exposures. The server determines a first rate of return based upon the selected asset allocation. The server generates a comparison investment fund. The server determines a second rate of return for the comparison investment fund. The server compares the second rate of return and a third rate of return for the primary investment fund to generate a fund selection contribution value. The server compares the first rate of return and the second rate of return to generate an opportunity set contribution value. The server determines a level of performance attributable to a manager of the primary investment fund based upon the fund selection contribution value and the opportunity set contribution value.

主权项

1. A computerized method for performance attribution for a fund of funds, the method comprising:
determining, by a performance attribution module of a server computing device, a manager-selected asset allocation for a primary fund of funds based upon a manager-selected weight assigned to each asset in the primary fund of funds and asset class exposures assigned to each asset in the primary fund of funds, the assets in the primary fund of funds selected from a set of eligible assets; determining, by the performance attribution module, a first hypothetical rate of return for the primary fund of funds based upon the manager-selected asset allocation and using returns associated with a benchmark policy of the primary fund of funds; generating, by the performance attribution module, a comparison fund of funds, wherein the comparison fund of funds is comprised of assets from the set of eligible assets and includes a comparison weight assigned to each asset that is based at least in part upon achieving maximum diversity of assets within the set of eligible assets while maintaining an asset allocation for the comparison fund of funds that conforms to the selected asset allocation for the primary fund of funds; determining, by the performance attribution module, a second rate of return for the comparison fund of funds based upon returns of each asset in the set of eligible assets using the comparison weight assigned to each asset; comparing, by the performance attribution module, the second rate of return and a third rate of return for the primary fund of funds based upon an actual return of the primary fund of funds to generate a fund selection contribution value; comparing, by the performance attribution module, the first rate of return and the second rate of return to generate an opportunity set contribution value; and assigning, by the performance attribution module, a level of performance attributable to a manager of the primary fund of funds based upon the fund selection contribution value and the opportunity set contribution value.