PMAR: Trying to uncover the value of Rules-Based Attribution

PMAR: Trying to uncover the value of Rules-Based Attribution

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

PFaroe, PMAR summit in Philadelphia last week, explained what 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. He will explained how it was “essential to attribute performance to micro-level rules within the traditional aggregate macro-level rules”, PMAR and PFaroe.

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. He 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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