Performance attribution enables you to identify portfolio contributions, compare performance vs. relevant benchmarks, and isolate components of that performance (e.g., selection/allocation), giving you greater insight into the key factors, people, and strategies that drive performance.
Performance attribution is a complicated and evolving field, particularly as it relates to measuring returns from assets such as shorts, futures, swaps, baskets, ETFs, and other derivatives. Merlin’s strength lies in applying performance models to facilitate this process.
Merlin’s performance attribution tools provide:
Absolute attribution
Identify portfolio contribution and ROI by security, sector, Long/Short, and custom strategy groups
Relative attribution
Compare performance vs. relevant benchmarks, isolate components of that performance, and calculate relative attribution versus benchmark using multiple Brinson models
Blended benchmarks
Produce blended benchmarks for the portfolio by combining existing standard benchmarks and customizing their relative weights