Absolute Return Strategies Presentation
Monthly Analysis: Portfolio Attribution
Cliffwater conducts attribution analyses of client performance against client benchmarks,
the Cliffwater Model Portfolio, and other Cliffwater client portfolios
-
Total value added/lost; impact of manager selection and strategy allocation
We also disaggregate client performance into alpha and beta components
-
Evaluate Information Ratio, Beta, and Convexity
Sample Client Portfolio Convexity Analysis
Global Stock Return
-8%
-6%
-4%
8%
6%
4%
-2%
-4%
-6%
-8%
Monthly Hedge
Fund Return
1.50%
Sample Client Portfolio Attribution Analysis
Sample Client 1-Year Attribution
Vs. Cliffwater Model Portfolio
-Asset Allocation
1.00%
-Manager Selection
Total Value Added
0.50%
4%
6%
8%
0.00%
Sample Client Hedge Fund Portfolio.
-0.50%
HFRI Fund of Funds Composite Index
-1.00%
Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17
Mar-17 Apr-17
The charts shown above are provided for illustrative purposes only. The charts are intended to show examples of the types of
performance analysis Cliffwater can conduct.
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