1 / 11

Attribution analysis: the portfolio level

Attribution analysis: the portfolio level. Style: manager types. Manager A: ‘we are good at forecasting sectors’ Top down Manager B: ‘we are good at picking buildings’ Bottom up This produces the standard two term attribution. Property fund manager styles.

thimba
Download Presentation

Attribution analysis: the portfolio level

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Attribution analysis: the portfolio level

  2. Style: manager types • Manager A: ‘we are good at forecasting sectors’ • Top down • Manager B: ‘we are good at picking buildings’ • Bottom up • This produces the standard two term attribution

  3. Property fund manager styles • What are the typical property fund manager styles? • Top-down, research-led, passive • Bottom-up, deal-led, opportunity funds, active • Sector specialists • Value and growth • Theme-based: rotational • What are the typical property fund manager performance drivers? • Structure • Stock

  4. Segmentation • Coherent market segments: common economic drivers • Manageable by a single team which can be rewarded for its performance • Benchmark information available • IPD segments: property type, property location

  5. Portfolio attribution • Two components to risk: structure and stock • first comes from position relative to benchmark • second comes from unique individual buildings • The larger the bets, the riskier the portfolio • If structure identical to benchmark: all risk is stock specific • Which is most important? IPD method and data typically allocates 75%+ to stock • Example: out-performance (1.0) = structure (0.1) + stock (0.9)

  6. Structure and stock: example

  7. Out-performance • Fund: 9.1% • Benchmark: 8.0% • Out-performance: 1.1% • Attribution? • Structure • Stock

  8. The structure component • UK: no structure component • France: 25% bet, -3% result, -0.75% contribution • Netherlands: -20% bet, -13% result, 2.6% contribution • Germany: -5% bet, 17% result, -0.85% contribution • Total structure score: -0.75%+2.6%-0.85% =1%

  9. The stock component • UK: 30% weight, 2% result, 0.6% contribution • France: 50% weight, 1% result, 0.5% contribution • Netherlands: 5% weight, -5% result, -0.25% contribution • Germany: 15% weight, -5% result, -0.75% contribution • Total stock score: 0.6%+0.5%-0.25%-0.75% =0.1%

  10. How are allocations made? • Allocator • uses forecasts of benchmark sectors to allocate? • uses forecasts of return on current stock plus benchmark sectorsto allocate? • uses subjective judgement regarding skills of sector specialiststo allocate? • Selector • buys, manages and sells • Two terms may be correct: but should the cross-product be allocated to the allocator?

  11. Structure and stock: example Who deserves the bonus?

More Related