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Product Highlights: Attribution

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Attribution identifies the sources of performance differences between the portfolio and the benchmark in terms of asset allocation and security selection

Overview

J.P. Morgan offers various performance attribution solutions depending on the asset class and needs of the client. Attribution analysis can be offered at the total fund/ plan level or at the individual investment manager level.

Attribution is available for total fund, equity and fixed income. Attribution reporting is available daily or monthly. Our models include transactionbased, holdings-based, and return-based methodologies.

Equity, Fixed Income and Country-Level Attribution

Attribution identifies sources of performance differences relative to a benchmark in terms of asset allocation and selection decisions. We can provide data at various levels including: asset class, sector, country, region, monetary, individual security and total fund.

Equity Attribution

Our equity sector and industry level attribution models utilize both GICS and ICB classification schemes. These models use a Brinson approach to decompose a portfolio's excess return due to allocation, selection, and interaction effects. Further decomposition at an asset class level identifies the impact of any non-equity bets, including derivative positions.

In addition, J.P. Morgan offers an online equity security-level attribution model that attributes excess return into stock selection and trading/timing effects. Relative contribution to return per security is also reported.

Fixed Income Attribution

Our model to provide online attribution analysis on fixed income portfolios resides within our core PRISM platform. Reporting attributes portfolio performance to curve positioning, sector allocation and security selection.

Reporting delineates the causes of performance variation relative to a benchmark, and attributes the causes among nine fixed income risk factors including duration, curve duration, convexity, sector credit, and quality.

Country-Level Attribution

Our country-level attribution model utilizes the Karnosky-Singer arithmetic methodology. Excess return is decomposed into allocation, selection, and currency effects.

Other Attribution Options

J.P. Morgan also offers plan or fund level attribution that decomposes returns at an asset class level into allocation, selection, and interaction effects. In addition, J.P. Morgan provides numerous factor-based models for equity, fixed income, and hedge funds based on our proprietary research.

Contribution Reporting

J.P. Morgan's proprietary model is accessible online. The model uses daily and monthly methodology with Carino linking for multiperiod. Run at the security level by various factors, it also includes the contribution impact of derivatives and monetary gain/ loss reporting.

Equity Attribution Excerpt
One Year Ended 12/31/2011

	Portfolio		Benchmark			Attribution
	Weight	Return	Weight	Return	Allocation	Selection	Interaction	Total
Equity	36.80%	14.60%	36.00%	14.20%	0.03%	0.09%	0.01%	0.12%
Fixed Income	42.50%	10.40%	44.00%	10.60%	0.01%	-0.05%	0.00%	-0.04%
Real Estate	4.50%	13.90%	6.00%	12.40%	-0.02%	0.05%	-0.03%	0.01%
Private Equity	6.30%	13.09%	5.00%	13.39%	0.03%	-0.02%	0.00%	0.01%
Hedge Funds	5.50%	4.40%	5.00%	3.80%	-0.03%	0.02%	0.01%	-0.01%
Real Assets	4.40%	7.60%	4.00%	6.80%	-0.01%	0.02%	0.00%	0.01%
Total Plan	100.00%	11.86%	100.00%	11.65%	0.02%	0.10%	-0.02%	0.11%

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Equity Attribution Excerpt