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 PUT /portfolio endpoint as usual.
• The attribution analysis can then be run with a call to the 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 GET Index endpoint to consult the list of benchmark Indexes / ETFs available. If what you require is not in the list then please message us. 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 GET /index/attribution endpoint to run the analysis.