Jem Tugwell, CEO of CAfIT, said, "CAfIT Attribution is designed to deliver timely, accurate and above all useable attribution to fund managers and their clients. With Fixed Income funds it is essential to attribute for the multiple sources of returns that funds managers actually manage. This requires a powerful yet intuitive attribution methodology so that the numbers generated add value to the investment process".
Investec Asset Management has already selected CAfIT Attribution to replace Wilshire Axiom. CAfIT Attribution will be used to calculate returns and attribution for Investec’s Fixed Income and Balanced funds. CAfIT was selected because of its responsiveness, extensive and intuitive Fixed Income attribution capabilities and the flexibility to produce attribution that exactly matches the investment process.
Different funds are managed in different ways so it is essential to have complete flexibility over how the fund is 'bucketed' into sectors. This may
include country and industry classifications but significantly for fixed income funds it can also include credit ratings, maturity bands, etc. CAfIT Attribution allows funds to be bucketed at multiple levels, for example a balanced fund may be bucketed by asset class (Equity, Fixed Income, etc.)
and then by Country and then by industry. CAfIT attribution calculates returns and attribution at all of the levels.
Shakeel Ahmad, Fixed Income Risk Analyst as Investec said, "In selecting an
attribution system we were concerned above all with the ease of understanding of the decomposition of returns to both reflect and add value to the investment process. CAfIT's implementation was innovative and provided a dedicated fixed-income solution"
Equity attribution with allocation and selection effects are calculated using any choice of how the funds returns are 'bucketed'. FX attribution is broken out the effect of currency returns implied by the forwards rates and those from currency surprise. Hedging and overlay program returns can also be separated.
Fixed Income attribution requires a methodology that is tailored to Fixed Income fund managers needs and is both intuitive and understandable. CAfIT Attribution breaks the Fixed Income attribution into contributions from coupon, curve, amortisation, convexity and swap spreads. Curve attribution is in terms of exposure to particular curve points and the actual movements at each curve point giving an accurate yet intuitive breakdown of performance from curve movements in each market. CAfIT already have plans to extend the attribution model, Jem Tugwell said "Version 2 will include attribution to changes in implied default probability for corporate and high yield securities."
CAfIT Attribution incorporates full valuation and analytics calculation functionality, so you are not constrained by your existing systems from delivering the most accurate performance and attribution figures.
Investec Asset Management is a specialist global investment management company and is a wholly owned subsidiary of Investec Group. It employs over 700 staff and manages assets in excess of US$25.15bn (£17.15) for individuals, retirement funds, governments, corporations and other institutions.
CAfIT, based in Sunninghill, Berkshire, UK, develops specialist fixed income
solutions for fund managers. CAfIT was founded in 1997 and is privately owned.
