Performance Perspectives Blog

Attribution survey findings, in brief

by | Apr 26, 2012

Jed Schneider, CIPM, FRM is a guest blogger, offering some of his impressions from TSG’s recent performance attribution survey.


Every year, TSG puts out a survey to the investment industry focusing on a performance related topic. Last summer, our survey focused on attribution. This was our fourth survey on attribution; it has also been our annual survey topic in 2002, 2004 and 2007.

Last year was the first year we put any of our surveys on line and it made a great difference with respect to the number of participants. We had 103 responses to the last attribution survey in 2007. We doubled that in 2011 with 207 participants to our survey!! We were pleased to have so much participation as a larger sample size provides a better reflection of how the industry uses and calculates attribution. We had participation globally; with one-third of responses coming outside of North America. While investment advisors were the most common type of firm responding, we had participation from mutual funds, banks and trust companies, insurance companies, custodians, software vendors and consultants. Our survey focused primarily on equity and fixed income attribution, the methods used, and the reporting audience and frequency.

Although the participant sized doubled, some of the results did not change, at least not significantly. For instance, the percentage of firms calculating both equity (89%) and fixed income (63%) attribution remained around the same as did the percentage that calculate hedge fund attribution (44%).

There were some results that did stand out, however.  For example, while portfolio managers and clients are the most common recipients of attribution reports (both equity and fixed income), investment consultants and marketing teams are also receiving them more now than in the past. We saw this jump in 2007 and it has continued to rise. Two-thirds of firms responding say they prepare equity attribution reports to investment consultants and 61% state their marketing group receives them. In 2004, both of these percentages were in the 40’s!

We were glad to see that the percentage of firms using an equity model for fixed income attribution has dropped from 2007. About 41% used an equity model to calculate fixed income attribution in 2007; that number dropped to 18% in 2011.

For those who calculate attribution using the arithmetic approach (more common than geometric, based on our survey), the Cariño logarithmic method was the most frequently used linking method. We saw something interesting in the responses to this question overall. Every method increased from 2007 to 2011 except for the “don’t know” response. We can only surmise that more people who responded this time around knew how smoothing was being performed.

The full survey is available for purchase on our web site:

Our next survey, coming out this summer, will be on the GIPS(R) standards, and this, as well, will be on line.

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