Attribution Hears a Who! The Case for Decision-Maker Based Attribution

Arun Muralidhar, Ph.D., Mcube Investment Technologies LLC

In the late 1990s, Decision-based Performance Attribution (DPA) was introduced into performance reports and is slowly gaining acceptance. As more analysts have examined this approach, the mathematical approaches have become elegant and the attribution has been refined to the last basis point. DPA focuses on breaking down total performance into the various decisions made in the fund: the Strategic Asset Allocation (SAA) and the Excess, with the Excess further disaggregated into the tactical asset allocation (TAA), manager selection within each decision bucket, manager allocation, and individual security selection. We provide a simple non-technical template for this approach we call Attribution of Returns Using Organizational Networks (ARUN) and encourage more talented attribution specialists to develop a more robust paradigm and method of reporting.