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Top-down attribution is appropriate for funds that allocate sector weights w.r.t. benchmark sector weights and subsequently take stock selection calls within the sector. The hierarchical decision making is appropriately represented in the drill down of performance from Portfolio to Sector to Security level.

True North: The performance snapshot

Point to point return generated (Higher is better)
Outperformance of the fund with respect to the benchmark (Higher is better)
Active Risk
Active Risk, also known as tracking error, is the extra risk taken in the fund to generate the outperformance. It's the volatility of daily alpha (Lower is better)
The measure of risk in the portfolio (Lower risk is better).
Beta explains the sensitivity of portfolio with respect to the benchmark.
Jensen Alpha
Outperformance that the fund manager would have generated by taking the same risk as benchmark. (Better if higher than Alpha)
Sharpe Ratio
Return per unit of risk generated by a portfolio used for comparing portfolios with volatility as the risk measure (Higher is better).
Treynor Ratio
Return over market expectations generated by the fund, given the same risk as market (Higher is better)
Information Ratio
Outperformance generated per unit of extra risk taken by the fund and used to compare funds (Higher is better)
Sortino Ratio
Return per unit of risk generated, while risk refers to volatility during negative market days (Higher is better)

Alpha Drivers: Which skills have created outperformance

Allocation is the alpha from sector weighting decision and Selection is the alpha from the stock picking decision. Active Management effect is the alpha from transactions during a month, dividend declared by schemes (for dividend option only), undeclared portion of the portfolio and fund's expenses.

Sector Heat-map: What. Why. Where.

Heatmap shows a pictorial bird's eye view of fund performance drilled-down to sector level. The alpha is segregated to fund management decisions and the effectiveness is depicted using the green to red color gradient. The green shades represent the better decisions.

Bottom-up attribution is appropriate for funds that have stock picking as their investment style, regardless of the relative sector exposure (w.r.t. the index). Stocks that outperform the index would generate alpha and the calls within/outside index can be clearly analyzed.

Bottom Up Attribution: Security calls that worked, that didn't

Bottom Up Attribution Details


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What happened within the sector

Drilldown shows the sources of alpha within a sector. Allocation shows the alpha due to the right sector weights and Selection shows the alpha due the right stock picks. The dividend effect shows the portion of the return generated from the dividends distributed by companies. The selection and dividends can be further analyzed at the stock level in the table provided at the bottom of the page..

Here comes All Sel Chart
Here comes wts Chart
Here comes ret Chart

Decisions at security level

Here comes Datatable


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