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RClick to edit Master text styles Second level Third level Fourth level Fifth level!     S   `gֳgֳ ?``  =*   `gֳgֳ ?`   ?*   `gֳgֳ ?`   ?*H  0޽h? ? 333 0 f^@(    TDjJjJ ?P    [*   TDjJjJ ?    ]* p  01 ?,9  :  Tdgֳgֳ ? @  RClick to edit Master text styles Second level Third level Fourth level Fifth level!     S  ZjJjJ ?P   [*   ZjJjJ ?   ]* H  0޽h9? ? ̙33 0 0( X  H  0޽h9 ? ̙33 PG(    HDgֳgֳ3?0p }E INTEGRATED MULTI-FACTOR RISK MANAGEMENT AND PERFORMANCE ATTRIBUTION F8<2F   Ngֳgֳ?.~ ^Ron D Vari, Ph.D. Vice President, Fixed Income State Street Research & Management Visiting Lecturer, Boston University Presented At Risk  97 Seminar June 4, 1997, Chicago, IL822H  0޽h ? 333A `i(    N$gֳgֳ?0 / PThe Three Pillars of Integrated Financial Management and Performance AttributionQ(2Q 2  Zgֳgֳ31? \ V$Relative Valuation/ Process Honing%%2  Zdgֳgֳ31?d T  f4Ex Post Market Monitoring/ Performance Attribution552  Zdgֳgֳ31?<  S!Ex Ante Risk/Exposure Measurement""pB @ H)?0 P pB  H)? P  pB  H)?  H  0޽h ? 333 xpp(    HA ??`EX $ 00H  0޽h ? 333 80 (   (  Ngֳgֳ?o d Factor Move Estimation and Monitoring Factor Return Attribution Consistent with Risk Measurement*e u22c  Ngֳgֳ?  Relative Valuation Investment Process Honing Benchmark Setting/Improvement Guideline/Mandate Improvements Strategic Asset Allocation Tactical Asset Allocation Overlay Risk Hedges* u222  Zgֳgֳ31?,l b0Ex-Post Market Move Monitoring and Decomposition112  Zgֳgֳ31?| V$Feedback Into The Investment Process%%H  0޽h ? 333V $~(  $ $ H$gֳgֳ3?@ LElementary Risk Models(2$ $ Tgֳgֳ?f`   $ HA ??`SX $ 00H $ 0޽h? ? 333 F>((    ( ( Hgֳgֳ3? NMulti-Factor Risk Models(2$ ( HA ??J:X $ 00H ( 0޽h? ? 333w ,(  , , Hzgֳgֳ3?o  LTraditional Approaches(2$ , Nzgֳgֳ?   Decoupled Macro (overall plan) vs. Micro (Portfolio) Macro: Highest risk-adjusted return via asset allocation Micro: Focus on highest return but often ignore incremental risk (stock picking) No Integrated Risk Management Static Approach Using Forecast Returns Relies on historical volatilities and correlations Neglects short horizon risk Ignores risk premium fluctuations Does not take advantage of short term mispricing7/23(q27Gq2$ 8qH , 0޽h ? 333 0!(  0 0 N$zgֳgֳ?`|  Breaks up risk to its lowest common denominator Integrates risk management into active management strategies Use forward-looking view of volatility and correlations Dynamic Approach Forecast both expected returns and volatility Focus on forecast risk-adjusted returns Considers environment where expected returns are constant but volatility might have risen Portfolio risk/return characteristics vs. Benchmark1 n> n9 n x x57 j 0 HĤzgֳgֳ3? @ OState-of-the-Art Approach(2$H 0 0޽h ? 333 ~v4(  4 4 NA ??`X $ 00H 4 0޽h ? 333 ~v8(  8 8 NA  ??ppX  $ 00H 8 0޽h ? 333 ~v<(  < < NA  ??@X  $ 00H < 0޽h ? 333 ~v@(  @ @ NA ??@0X $ 00H @ 0޽h ? 333 D(  D D Hzgֳgֳ3?@*  k5FIXED-INCOME INTEGRATED MULTI-FACTOR RISK MANAGEMENT6(26(H D 0޽h ? 333 :2 H(  H H NA ??{X $ 00 H Hzgֳgֳ3?P0 <MARKET(2$H H 0޽h ? 333 xp0L(  L L HA ??|XX $ 00H L 0޽h? ? 333 ~v@P( ,v}y9 P P NA ??|XX $ 00H P 0޽h? ? 333  0(PT(  T T 3 rzgֳgֳ3 ?P  Q  T  fTzgֳgֳ ? Q H T 0޽h ? 333M  `Xu( X X X 3 rzgֳgֳ3 ?    X  fTzgֳgֳ ?   X Hzgֳgֳ3? Oz  <OTHERS(2( X Nzgֳgֳ?0  s= Currency, Liquidity, Model, Operational, Counterparty, etc.>(2> H X 0޽h ? 333 ;3p\(  \ \ NA ??U^X $ 00 \ H4zgֳgֳ3?0: =FACTORS(2(H \ 0޽h ? 333 ~v`(  ` ` NA ??@PX $ 00H ` 0޽h ? 333 IAd(  d d NA ??X $ 00 d Hzgֳgֳ3?  KFIXED-INCOME ANALYTIC(2$H d 0޽h ? 333 rjh(  h h NA ??CX $ 00 h HTzgֳgֳ3?P tFIXED-INCOME ANALYTIC, cont.(2$H h 0޽h ? 333  0(l(  l l 3 rzgֳgֳ3 ?P`  z  l  fzgֳgֳ ?  z H l 0޽h ? 333 ~vp( X p p NA ??P`PX $ 00H p 0޽h ? 333  0(t(  t t 3 rtzgֳgֳ3 ?P  z  t  fzgֳgֳ ?@P z H t 0޽h ? 333 ~vx( X x x NA  ?? X  $ 00H x 0޽h ? 333  0(|(  | | 3 rTzgֳgֳ3 ? P  z  |  fzgֳgֳ ?PP0` z H | 0޽h ? 333  0( ( ֳ   3 rDgֳgֳ3 ?P      fgֳgֳ ?   H  0޽h ? 333 ~v(    NA "??P X "$ 00H  0޽h ? 333 {s (  2  Ztzgֳgֳ1?D  > YIELD/ AGING  o  Tzgֳgֳ?  Beginning portfolio return under unchanged yield curve, OAS, and volatility scenario Includes accrued as well as accretion (aging)F--0! _2  Z4zgֳgֳ1?D   7CURVE  Tzgֳgֳ?v o ? Beginning portfolio return with end period curve and volatility under OAS unchanged scenario less yield Decomposed to convexity, duration, twist, and butterfly Curve residual/selection component for periodic attribution<C,yoxH  0޽h ? 333N  v(  2  Zzgֳgֳ1?l NNONCURVE (OAS+VOL)   ^  Ndzgֳgֳ?P@  Beginning Portfolio s Buy-and-hold Total Return Minus [(Yield+Aging)+Curve Returns] Attributed to Credit Sector factor move (OAS) Security specific OAS move Selection/Residual 2 26 2 26 qAAH  0޽h ? 333 0(  2  Zgֳgֳ1? FINTRA-PERIOD TRADING  NDzgֳgֳ?9 Calculated only for periodic approach Difference of the actual return of the portfolio from the buy-and-hold Portfolio s actual total return (accounting) includes the effect of client-directed cash flows L&H7-H  0޽h ? 333   @H(    3 rzgֳgֳ3 ?o  <   HA $??6z X $$ 00  HA &?? P'X &$ 00  HA (??S gX ($ 00  Nzgֳgֳ?P J <Where: 2H  0޽h? ? 333\ P(    HDzgֳgֳ3?7 RPORTFOLIO RETURN DECOMPOSITION 2  HA *??QuX *$ 00  Hzgֳgֳ3?@ RBENCHMARK RETURN DECOMPOSITION 2  HA ,?? 5 X ,$ 00H  0޽h? ? 333  0(`(    3 rzgֳgֳ3 ?P  Q    fzgֳgֳ ? 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