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StatPro Revolution adds new analysis for stock picking fund managers with bottom-up stock-level attribution

StatPro Group plc (AIM: SOG), a global leader in portfolio analytics and reporting services today announces that StatPro Revolution, in addition to existing top-down attribution, now offers bottom-up, stock-level attribution. The new dashboard empowers stock-pickers to intuitively visualize the effectiveness of their investment strategy, breaking down the performance against the benchmark into the following effects:

  • Additions: performance generated by the selection of stocks outside the benchmark
  • Exclusions: performance coming from decisions of excluding stocks in the benchmark
  • Overweight: results of overweighting stocks belonging to the benchmark
  • Underweight: effect of underweighting decisions

This enhances the existing top-down attribution model in StatPro Revolution looking at the allocation and selection effect at the sector or currency level. The new dashboard graphically presents the five top and bottom decisions for each of the above effects, letting stock-pickers easily understand and explain what investment decisions made a difference. A separate table view enables further analysis into the details of all the securities in portfolio and benchmark.

The analysis can also be used to compare the same portfolio over two different dates, investigating the added value brought by stock-picking decisions in the selected period.

The analysis utilizes the classical Brinson-Fachler model of decomposing portfolio relative return into allocation and selection+interaction effects.

In addition the trend chart shows what percentage of the portfolio was actively managed, and how big the overlap with the benchmark was.

Justin Wheatley, Group CEO, StatPro states: “We believe that no stock-level attribution product has ever provided such a clear view of the real impacts on a portfolio from stock-picking decisions. This will really help our clients explain their investment decisions to their investors, improving communications, increasing transparency and building trust. As StatPro Revolution is cloud-based this new dashboard is already available to all our clients at no extra cost and no upgrade effort. Our clients are able to benefit from new features added every six to eight weeks.” .