Industry experts discuss the need to focus on micro-level decisions in performance attribution at the PMAR summit in Philadelphia last week

With the returns from the micro-level rules offsetting each other and clouding the results at the macro level, micro-level attribution is emerging in the spotlight of investor community.

Speaking at the PMAR session on Micro-Attribution last week, Arun Muralidhar from MCube Investment Technologies explained how it was “essential to attribute performance to micro-level rules within the traditional aggregate macro-level rules.”

With PFaroe Portfolio Management tool, investment managers can attribute the performance of their portfolios to any number of custom rules embedded at different levels of aggregation – ‘rules within rules’.  For example, a user with an ESG-tilted high credit rating emerging market transportation bond portfolio can quantify the returns from each decision – market, industry, credit score, ESG score – in whichever order they choose.

The thought-provoking discussion at PMAR stressed the importance of trying new approaches to attribute performance and the ongoing search to find better solutions for clients.

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