​TAI releases open source code for feedback attribution method | New

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An investment research group backed by consultancy WTW announced this morning that it is making a returns analysis tool freely available, saying it hopes the move will help the institutional investment industry think longer term, focusing more on the fundamental drivers of returns.

The Thinking Ahead Institute (TAI), a WTW-sponsored investment research and innovation membership group, said it has released open-source computer code implementing its Fundamental Return Attribution (FRA) framework.

FRA is derived from the group’s research on separating the short- and long-term return components of an investment strategy, TAI said in a statement.

“That is about to change as institutional investors are equipped with new tools to help them think differently while focusing on the decision-making capabilities of asset managers and the fundamental drivers of returns,” he said. -he declares.

The code is designed to make it easy for investment organizations to apply this framework to their own portfolios, the group said.

Tim Hodgson, Co-Head of TAI, said: “TAI’s research has identified a significant long-term investment premium – up to 1.5% per annum – which can be harvested and shared with end beneficiaries. “

But institutional investors had become accustomed to short-term performance measures, he said, adding that this habit had been perpetuated by traditional reporting methods, resulting in many investment mandates being terminated for the wrong reasons. and at the wrong time.

“I hope that is about to change as institutional investors are equipped with new tools to help them think differently while focusing on the decision-making capabilities of asset managers and the fundamental drivers of returns” , said Hodgson.

The open source code is designed to break down portfolio returns into three components: changes in market sentiment; growth in portfolio fundamentals and changes in portfolio holdings, according to TAI.

This, he said, allowed an investor’s decisions to be assessed not only on market value returns, but also on changes in fundamental portfolio attributes over time.

“This aims to promote a longer-term perspective and enable better dialogue between asset owners and asset managers,” TAI said.

The code is available for free at github.comsays the group.

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