MantaAPI
Performance Attribution Analysis
1 min
mantarisk's risk and portfolio attribution methodology employs an enhanced brinson model to decompose risk and performance across the following dimensions sectors, asset classes, and domiciles this detailed analysis provides insights into the following key components allocation effect measures the performance impact resulting from overweighting or underweighting specific sectors, asset classes, or domiciles relative to the benchmark selection effect quantifies the value added or subtracted by selecting specific securities within each sector, asset class, or domicile compared to the benchmark interaction effect captures the combined, and often non additive, performance impact of allocation and selection decisions marginal contribution to risk (volatility) determines the individual marginal contribution of each sector, asset class, or domicile to the overall portfolio volatility and compares it the marginal contribution to risk to the overall benchmark volatility" average returns provides the average returns of the each component over the last day and last month periods 1 attribution analysis against a portfolio to analyse a portfolio against another (benchmark) portfolio load the relevant portfolios using the https //app swaggerhub com/apis docs/mantarisk/rest/0 1#/portfolio%20data%20management/put portfolio endpoint as usual the attribution analysis can then be run with a call to the https //app swaggerhub com/apis docs/mantarisk/rest/0 1#/performance%20attribution/get portfolio attribution endpoint using the client reference of the portfolio you want to analyse and the client reference of the portfolio you want to use as benchmark 2 attribution analysis against a benchmark to analyse a portfolio against a specific benchmark (fund or etf) use the https //app swaggerhub com/apis docs/mantarisk/rest/0 1#/performance%20attribution/get index to consult the list of benchmark indexes / etfs available if what you require is not in the list then https //docs mantarisk com/getting started api we have access to all major etfs as well as a wide range of funds so if there is anything missing, we should be able to add it use the https //app swaggerhub com/apis docs/mantarisk/rest/0 1#/performance%20attribution/get index attribution endpoint to run the analysis