Performance Attribution

About the Brinson-Fachler attribution model

The Brinson-Fachler method is a popular attribution model that seeks to explain the portfolio performance vs benchmark (also known as active return). It does so using the following key factors:

Allocation effect: The effect of over- or under-allocating a given segment (e.g. a specific sector)
Selection effect: The effect of actual security selection within the given segment

The model also includes a third Interaction factor which is less intuitive, but a mathematical necessity for the figures to add up: Total effect = Allocation + Selection + Interaction.

The model can also be tweaked to include a separate FX component, to attribute foreign exchange movements separately from the above.

Accurate & transparent

No approximations - our performance attribution is based on your actual daily data:

Transaction-based (using the reconciled transaction data in Limina)
Includes all fees and expenses that contribute to the NAV
Returns calculated as daily time-weighted returns (TWR), ensuring accurate representation of inflows/outflows
No black box - inspect figures to see how they are calculated