Implementation of a Performance Attribution System in a Funds Management Company

Master's Thesis from the year 2004 in the subject Business economics - Investment and Finance, grade: 1,0, Hogeschool Zeeland (unbekannt), language: English, abstract: Inhaltsangabe:Introduction:
Within this thesis fundamentals of performance attribution are treated as well as the practical implementation of such a system. However, for many people who already asked to receive a copy of this work, the most important part will be the analysis of the (partly internet based) questionnaire revolving around performance attribution.
The theoretical part contains the fundamentals of portfolio theory and the constructive CAPM, followed by basics of portfolio management. Next topics are the estimation of risk and performance for investment portfolios. The finishing touch is done by introduction of performance attribution theories handling both, equity and bond attribution.
Within the practical part a short analysis of the affected asset management company is performed, accompanied by research of performance presentation.
A questionnaire has been sent to 80 non-banks of the German HDAX index as well as to all members of the BVI. Furthermore an internet based version of the questionnaire has been introduced to a large number of institutional clients. The analysis of this questionnaire is one of the topics of this work.
For the affected company the results from the questionnaire are used to identify the competitors possibilities and the clients needs, resulting in fundamental ideas for the catalogue of requirements.
The analysis of the investment process and based on this the choice and the implementation of a performance attribution system are the last parts of this work. Still it has to be mentioned that recommendations for organizational changes are part of implementation.
There are three reasons why this thesis has been prepared.
The first one is quite trivial. As performance attribution is more and more present in the market, deeper knowledge of it shall be gained for the affected company.
Primarily the department for quantitative research and information technology has to come up with this knowledge to act as a multiplier and to ascertain technological and / or organizational requirements for its implementation.
Another scope of this work is to determine the actual status of performance attribution performed by competitors. To get this information competition is referred to and likewise clients of competitors are interviewed.
To benefit from this thesis not only the theoretical background will be looked upon, but there will be approaches to completely integrate performance attribution.
Proposed usage will be in marketing where performance attribution is part of the performance presentation. As it would be unwise not to use a controlling instrument for its primary task the system will be used within controlling. With the help of performance attribution, investment approaches shall be assessed and if necessary improved or eliminated.
Inhaltsverzeichnis:Table of Contents:
I.List of Abbreviationsi
II.List of Contentiii
III.List of Figuresviii
1.Introduction1
1.1Executive Summary1
1.2Scope of Work2
2.Implementation of a Performance Attribution System3
2.1Definition of Problem3
2.2Relevance of Performance Attribution5
2.3Research Methods6
2.3.1Analysis of Literature6
2.3.2Questionnaire7
2.3.3Interviews7
2.3.4Conclusion8
3.Theory9
3.1Analysis of Relevant Theories9
3.1.1Basic Principles of Asset Management9
3.1.1.1Portfolio Theory according to Markowitz9
3.1.1.2Capital Asset Pricing Model (CAPM)10
3.1.1.3Multi Beta CAPM10
3.1.1.4Arbitrage Pricing Theory10
3.1.1.5Market Model11
3.1.1.6Information Efficiency11
3.1.2Risk Measurement12
3.1.2.1Volatility12
3.1.2.2Value at Risk12
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Klappentext

Inhaltsangabe:Introduction: Within this thesis fundamentals of performance attribution are treated as well as the practical implementation of such a system. However, for many people who already asked to receive a copy of this work, the most important part will be the analysis of the (partly internet based) questionnaire revolving around performance attribution. The theoretical part contains the fundamentals of portfolio theory and the constructive CAPM, followed by basics of portfolio management. Next topics are the estimation of risk and performance for investment portfolios. The finishing touch is done by introduction of performance attribution theories handling both, equity and bond attribution. Within the practical part a short analysis of the affected asset management company is performed, accompanied by research of performance presentation. A questionnaire has been sent to 80 non-banks of the German HDAX index as well as to all members of the BVI. Furthermore an internet based version of the questionnaire has been introduced to a large number of institutional clients. The analysis of this questionnaire is one of the topics of this work. For the affected company the results from the questionnaire are used to identify the competitors? possibilities and the clients? needs, resulting in fundamental ideas for the catalogue of requirements. The analysis of the investment process and based on this the choice and the implementation of a performance attribution system are the last parts of this work. Still it has to be mentioned that recommendations for organizational changes are part of implementation. There are three reasons why this thesis has been prepared. The first one is quite trivial. As performance attribution is more and more present in the market, deeper knowledge of it shall be gained for the affected company. Primarily the department for quantitative research and information technology has to come up with this knowledge to act as a multiplier and to ascertain technological and / or organizational requirements for its implementation. Another scope of this work is to determine the actual status of performance attribution performed by competitors. To get this information competition is referred to and likewise clients of competitors are interviewed. To benefit from this thesis not only the theoretical background will be looked upon, but there will be approaches to completely integrate performance attribution. Proposed usage will