Excess return can be decomposed as follows :

Allocation effect: measures the contribution of each exposure bet by asset class Selection effect: measures relevance of selected securities within each asset class Interaction effect: measures cross-effect of allocation and selection decisions Contribution to excess return: sum of the three (3) preceding effects Currency effect: measures the relevance of exposure bids to currencies separately from market exposure.

The “Equities/Balanced Attribution” module uses the full range of customisation and presentation possibilities specific to BI-SAM Reporting Suite.