Multi-Level Attribution
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1 Multi-Level Attribution
2 Multi-level attribution Attribution Multi-level Explain difference between actual and benchmark performance Refers to multiple levels of decision making in the investment process Multi-level Attribution Explain excess performance based on investment decision process 2
3 Multi-level attribution - Example Total Fund Market SAA Market TAA Currency SAA Currency TAA Equities Fixed Income Alternatives EU US UK APAC Sovereign Credits Real Estate Hedge Funds Manager Manager USD EUR IG HY Listed Direct FoF MN Currency Implementation Manager GBP 3
4 Bottom up approach Analyze excess return where securities and classifications are used as a starting point. Market Currency overlay Equities Fixed Income Alternatives 4
5 Bottom up approach - example Use Brinson type attribution models Assuming we have an index that can be classified accordingly Only two decisions; allocation over asset classes and selection within each asset class Instead of grouping over securities, you can group over portfolios ( portfolio hierarchy ) We can stack attributions in case there are more decisions First step in a top-down approach 5
6 Top down approach Analyze excess return where the portfolio hierarchy is used as a starting point. Market Currency overlay Equities Fixed Income Alternatives Securities EU US UK APAC Sov Cred RE HF Securities Securities Securities Securities Securities Securities Securities Securities 6
7 Top down approach - example Consecutive Brinson type attribution models Scaled by Portfolio Weight 7
8 Top down approach - example Consecutive Brinson type attribution models Bottom up attributions create a simple decision hierarchy; only one allocation and selection decision Stacking these attribution schemes leads to a top down approach. 8
9 Traditional approach - Limitations The top down approach is a first step into a decision based approach. However it still does not solve some issues that are common in (institutional) multi-asset class portfolios: Strategic asset allocations versus dynamic and tactical asset allocations Liability matching versus return portfolios Overlay structures: Currency overlay, duration overlay, global TAA Allocation to illiquid asset categories Benchmark inconsistencies Specific investment strategies; absolute return, tilting, smart beta... Different departments/people involved in investment decision making 9
10 Decision based approach Analyze excess return where the decision process is used as a starting point. 10
11 Decision based Strategic decisions Multiple strategic / tactical asset allocation decisions: Strategic Asset Allocation (SAA) Modified Asset Allocation (MAA) Tactical Asset Allocation (TAA) Actual Asset Allocation (ACTUAL) Operational Decisions Long term (10 year view) asset allocation of pension scheme Shorter term (3 year view) asset allocation of pension scheme Short term (1 year view) asset allocation of pension scheme Allocation based on actual positions Added Value Board decision Added Value Investment Committee decision Added Value Investment Organization decision Added Value (External) Managers decisions These decisions can be modeled as benchmarks 11
12 Decision based Strategic decisions Market SAA Market TAA 26bp The added value of the TAA decision over the SAA Weight Return Contribution SAA TAA excess SAA TAA excess total Equities 40,00% 45,00% 5,00% 4,45% 4,45% 0,00% 0,15% Fixed Income 50,00% 45,00% -5,00% -0,68% -0,68% 0,00% 0,11% Alternatives 10,00% 10,00% 0,00% 0,28% 0,28% 0,00% 0,00% Portfolio 100,00% 100,00% 0,00% 1,47% 1,73% -0,26% 0,26% 12
13 Decision based Implementation decisions Market TAA 6bp Equities Fixed Income Alternatives Futures Overlay Direct Investments Futures Overlay Direct Investments 0bp The added value of the TAA implementation decision Weight Return Attribution portfolio benchmark futures portfolio benchmark futures timing futures total Equities 46,60% 45,00% 5,00% 4,27% 4,45% 4,06% 0,05% -0,02% 0,03% Fixed Income 45,20% 45,00% -5,00% -1,26% -0,68% -1,07% 0,00% 0,02% 0,02% Alternatives 8,20% 10,00% 0,00% 2,07% 0,28% 0,00% 0,02% 0,00% 0,02% Portfolio 100,00% 100,00% 0,00% 1,59% 1,73% 0,26% 0,06% 0,00% 0,06% 13
14 Decision based Implementation decisions 147bp 173bp 179bp 179bp Market SAA Market TAA Equities Fixed Income Alternatives Futures Overlay Direct Investments Futures Overlay Direct Investments 26bp 6bp 0bp In summary: Contribution All fund level decisions 1,79% SAA decision 1,47% TAA decision 0,26% Implementation TAA decision 0,06% Drifting 0,06% Futures overlay 0,00% 14
15 Decision based Illiquid investments Include illiquid investments such as direct RE in overall analyses Alternatives Real Estate Hedge Funds 55bp Direct Listed FoF MN Weight Return Attribution portfolio benchmark excess portfolio benchmark excess allocation selection total Real Estate 38,00% 30,00% 8,00% 5,10% 5,10% 0,00% 0,39% 0,00% 0,39% Hedge Funds 62,00% 70,00% -8,00% 0,22% -1,78% 2,00% 0,17% 1,24% 1,41% Alternatives 100,00% 100,00% 0,00% 2,07% 0,28% 1,79% 0,55% 1,24% 1,79% But is this really an explicit allocation decision? Weight Return Attribution portfolio benchmark excess portfolio benchmark excess allocation selection total Real Estate 38,00% 38,00% 0,00% 5,10% 5,10% 0,00% 0,00% 0,00% 0,00% Hedge Funds 62,00% 62,00% 0,00% 0,22% -1,78% 2,00% 0,00% 1,24% 1,24% Alternatives 100,00% 100,00% 0,00% 2,07% 0,83% 1,24% 0,00% 1,24% 1,24% 15
16 Decision based Illiquid investments Change model to reflect real decisions: Alternatives -6bp Liquid Alternatives Illiquid Alternatives 70bp Real Estate Hedge Funds Real Estate Listed FoF MN Direct Weight Return Attribution portfolio benchmark excess portfolio benchmark excess allocation selection total Liquid 87,00% 86,00% 1,00% 1,62% -0,50% 2,12% -0,01% 1,85% 1,84% Illiquid 13,00% 14,00% -1,00% 5,10% 5,10% 0,00% -0,05% 0,00% -0,05% Alternatives 100,00% 100,00% 0,00% 2,07% 0,28% 1,79% -0,06% 1,85% 1,79% Weight Return Attribution portfolio benchmark excess portfolio benchmark excess allocation selection total Real Estate Listed 28,74% 18,60% 10,13% 5,10% 5,10% 0,00% 0,49% 0,00% 0,49% Hedge Funds 71,26% 81,40% -10,13% 0,22% -1,78% 2,00% 0,21% 1,43% 1,63% Liquid Alternatives 100,00% 100,00% 0,00% 1,62% -0,50% 2,12% 0,70% 1,43% 2,12% 16
17 Decision based Illiquid investments Change model to reflect real decisions: 28bp 22bp 83bp 207bp Liquid Alternatives Real Estate Hedge Funds Alternatives Listed FoF MN Illiquid Alternatives Real Estate Direct -6bp 61bp (=70bp x Weight) 124bp Contribution All alternative decisions 1,79% Liquidity effect -0,06% Allocation decision 0,61% Selection decision 1,24% 17
18 Decision based Benchmark policy Manager 1 FTSE Manager 1 FTSE ex Tobacco Equity UK FTSE Manager 2 MSCI UK Manager 2 MSCI UK SRI Manager 3 FTSE Manager 3 FTSE Manager 1 Manager 2 Manager 3 Added Value Benchmark Inconsistencies Added Value Exclusion Policy Added Value External Managers benchmark portfolio Overall Return Manager Return Restricted Return Weight Return Manager 1 FTSE 5,00% FTSE 5,00% FTSE ex Tabacco 4,00% 40,00% 6,20% Manager 2 FTSE 5,00% MSCI UK 6,00% MSCI UK SI 5,00% 25,00% 4,70% Manager 3 FTSE 5,00% FTSE 5,00% FTSE 5,00% 35,00% 6,70% Equity UK 5,00% 5,25% 4,60% 100,00% 6,00% 0,25% - 0,65% 1,40% 18
19 Decision based Benchmark policy 500bp Equity UK FTSE 25bp 525bp Manager 1 FTSE Manager 2 MSCI UK Manager 3 FTSE -65bp 460bp 600bp Manager 1 FTSE ex Tobacco Manager 2 MSCI UK SRI Manager 3 FTSE Manager 1 Manager 2 Manager 3 140bp Contribution All Equity UK decisions 1,00% Benchmark inconsistencies 0,25% Exclusion policy -0,65% Added value Managers 1,40% Manager 1 1,00% Sector allocation 1,32% Stock selection -0,32% Manager 2-0,20% Manager 3 0,60% 19
20 Decision based Currency decisions Currency SAA Currency Proxy Currency TAA Currency Implementation Use same concepts to model the investment decisions with respect to the management of foreign currencies. Contribution All currency decisions 0,07% Currency proxy's -0,02% Currency bets 0,07% Implementation 0,02% 20
21 Decision based Currency decisions Fund Market Investments Strategic BM Currency Overlay Currency Policy USD 20% EUR 50% GBP 5% JPY 15% HKD 5% BRL 5% USD 10% EUR 85% GBP 5% JPY 0% HKD 0% BRL 0% USD -10% USD -11% USD -21% USD -23% EUR 35% EUR 34% EUR 34% EUR 36% GBP 0% GBP 0% GBP 0% GBP 1% JPY -15% JPY -13% JPY -13% JPY -14% HKD -5% HKD -4% HKD 0% HKD 0% BRL -5% BRL -6% BRL 0% BRL 0% USD EUR GBP JPY BRL HKD Added Value Currency policy Added Value Timing Added Value Proxy Added Value Currency bets Added Value Currency Contracts 21
22 Decision based Example Total Fund Market SAA Market TAA Currency SAA Currency TAA Equities Fixed Income Alternatives EU US UK APAC Sovereign Credits Real Estate Hedge Funds Manager Manager USD EUR IG HY Listed Direct FoF MN Currency Implementation Manager GBP 22
23 Decision based All decisions Total Fund Market SAA Currency SAA Market TAA Currency Proxy Equities Fixed Income Alternatives Currency TAA Futures Overlay Direct Investments Futures Overlay Direct Investments Liquid Illiquid EU UK US APAC Sovereign Credits Real Estate Hedge Funds Real Estate Currency Implementation FTSE MSCI UK FTSE USD EUR GBP IG HY Listed FoF MN Direct FTSE (R) MSCI (R) FTSE Manager Manager Manager 23
24 Decision based All decisions All market and currency decisions put together Market Decisions Contribution SAA decision 1,47% All tactical decisions 0,32% TAA decision 0,26% Implementation TAA decision 0,06% All equity decisions -0,08% Region allocation decision -0,08% Benchmark inconsistency 0,02% Exclusion policy -0,04% Manager decisions -0,04% All fixed income decisions -0,26% Market allocation decision -0,10% Manager decisions -0,16% All alternative decisions 0,15% Liquidity decision 0,00% Allocation decision 0,05% Manager decision 0,10% All market decisions 1,59% Currency Decisions Contribution Currency Strategy -0,62% Currency proxy's -0,02% Currency bets 0,07% Implementation 0,02% All currency decisions -0,55% Contribution Fund Strategy 0,85% Fund actual performance 1,04% Added value all decisions 0,19% Market decisions 0,12% Currency decisions 0,07% Combine the decision based top down approach with bottom up analytics to capture the added value of decisions within a mandate/portfolio 24
25 Portfolio 1 Portfolio 2 Portfolio 3 Portfolio X Aggregation 1 Aggregation 2 Aggregation Y Next step: Improve decision making Decision based performance attribution should be an integrated step in the risk management process. Explain differences between strategy and implementation based on investment decisions. Use ex-post results to identify core competences in the investment decision process. Ex-Ante Ex-Post 100% Monitor utilized risk budgets relative to the allocated risk budgets. Utilized Risk Budget 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Identify possible regime shifts; assess whether observed realizations fall within the range of ex-ante expectations. Learn from the past to improve decision making! 25
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