Implementation in MantaRisk

In the next few sections the implementation in MantaRisk is explained. Note that MantaRisk not only calculates performance attribution but also risk attribution of each category thanks to its risk model.

The asset classes which are supported are:

• Equities
• Fixed income instruments
• Cash
• Funds / ETFs
• Commodities

Excess Return

MantaRisk supports both arithmetic excess return and geometric excess returns. Furthermore, the following time horizons can be chosen:

• Day
• Week
• Month

Types of Return Attribution & Performance Attribution Models

There are 2 implementations in MantaRisk:

1. The classical Brinson-Fachler model with a holdings-based attribution type
2. The hierarchical model with a returns-based attribution type

1. Brinson-Fachler Model

The Brinson-Fachler model is implemented as a holdings-based attribution type and performs attribution at the total portfolio level, instrument level, and for various categories such as asset class, sector, country, etc.

2. Hierarchical Model

The hierarchical model follows the implementation by S. Campisi and is implemented as a returns-based attribution type where each instrument is decomposed into exposures to a given risk factor set.

Generates attribution data from betas for funds and indexes

• Uses exposures (betas) from the risk factor model to perform attribution analysis
• Calculates the idiosyncratic components
• Performs attribution at the total portfolio level, instrument level, and for various categories

A key feature of our hierarchical attribution implementation is the use of exposures (betas) from the risk factor model. This approach allows for a more accurate attribution analysis by:

1. Taking the betas from the risk factor model for both portfolio and benchmark
2. Computing weighted betas for each risk factor
3. Creating a comprehensive attribution framework that accounts for the complex relationships between instruments and risk factors

Roadmap

The attribution model is being actively improved with the following roadmap:

• Multi-period geometric portfolio attribution: end of Q3 2025
• Extension of the supported asset classes to stock options: TBD